Guru Review

Welcome Guest ( Log In | Register )

 Forum Rules Reminder: Please Read
 
Reply to this topicStart new topic
> NAAIM Sentiment Study Update, (Updated 11-28-11)
OEXCHAOS
post Feb 19 2010, 09:05 AM
Post #1


Mark S. Young


Group: Admin
Posts: 16143
Joined: 20-August 03
From: CVG
Member No.: 3



NAAIM Median Exposure Levels: A Useful Indicator

Every week, the National Association of Active Investment Managers surveys its members to determine their market exposure levels. The managers are active and some are quite aggressive. They have the technical capacity to be as much as 200% Long or Short the market.

We have found that this data, particularly Median exposure levels appear to have some meaningful contrarian predictive value. We have also found, gratifyingly, that during well defined Bullish and Bearish market cycles, survey respondents appear to properly position for extended periods. There are limits to confidence levels with a relatively small data set, but thus far, the predictive patterns appear robust.

We looked at 4 different types of contrarian "signals" from this data. They are as follows:

Intermediate-term Buys when Median Exposure is less than/equal to 20%
Intermediate-term Sells when Median Exposure is greater than/equal to 80%

Very Short-term Buys when Median Exposure shifts down 20% or more
Very Short-term Sells when Median Exposure shifts up 20% or more

We defined "Intermediate-term" as more than 5 market days and/or more than 5%
We defined "Very Short Term" as a move beginning within 1 or 2 days of the signal and generating at least 1.2%.

Intermediate-term Buy or Sell signals are considered to be "in effect" until a reset, that is until median exposure levels move back above or below the trigger levels of 80% and 20%.

2006-2007


2007-2008


2008-2009


Thru 3-18-10

Attached Image


Thru 4-04-11


Attached Image



Through 12-01-11

Attached Image



Current through 11-09-12


Attached Image


Out of 7 Intermediate-term Sell Signals, 4 were followed by declines within 3 days. 1 signal was followed by a decline within 5 days. 2 of the Sell signals only generated very modest pullbacks. The failed Sells were during pronounced Bullish periods. 5/7 of the Sell signals can be viewed as "accurate/profitable".

Out of 9 Intermediate-term Buy Signals, 7 were followed by rallies within 5 days or less. 2 signals were failures. Both were during the prolonged Bear market of 2008-2009. 7/9 of the Buy signals can be viewed as "accurate/profitable".

Out of 11 VST Sells 10 generated immediate or near immediate short-term sell offs. 1 sell off took 3 days and was considered the lone failed signals. 6/7 of the VST Sells were "accurate/profitable".

Out of 14 VST Buys, 12 generated appreciable rallies within 1-2 days. 2 signals failed to generate any tradable rally.

Of note, we find that this study does not imply some inherent failure of active investment management. In fact, exposure levels often indicated managers were well positioned during extended market moves. Since managers are not typically very short-term traders, one cannot conclude anything about active investment management from very short-term adverse moves, other than such are part and parcel of investing in equity markets.
Attached thumbnail(s)
Attached Image
 


--------------------
Mark S Young
Wall Street Sentiment
WallStreetSentiment.com
You can now follow me on twitter
Go to the top of the page
 
+Quote Post
steve7074
post Oct 13 2011, 06:48 AM
Post #2


Member


Group: Traders-Talk User
Posts: 4
Joined: 21-December 08
From: Dallas, Tx
Member No.: 7937



Mark

I see the historic charts, but nothing for right now.

What does this tell us ?
Go to the top of the page
 
+Quote Post
OEXCHAOS
post Oct 13 2011, 04:25 PM
Post #3


Mark S. Young


Group: Admin
Posts: 16143
Joined: 20-August 03
From: CVG
Member No.: 3



QUOTE (steve7074 @ Oct 13 2011, 06:48 AM) *
Mark

I see the historic charts, but nothing for right now.

What does this tell us ?


It looks like a Buy and it looks like it's confirmed. We've updated the last chart.


--------------------
Mark S Young
Wall Street Sentiment
WallStreetSentiment.com
You can now follow me on twitter
Go to the top of the page
 
+Quote Post
IYB
post Nov 28 2011, 03:54 PM
Post #4


Member


Group: TT Patron+
Posts: 7107
Joined: 11-September 03
From: Hawaii Kai, Honolulu, Hawaii
Member No.: 60



QUOTE (OEXCHAOS @ Feb 19 2010, 06:05 AM) *
Very Short-term Buys when Median Exposure shifts down 20% or more

Intermediate-term Buy or Sell signals are considered to be "in effect" until a reset, that is until median exposure levels move back above or below the trigger levels of 80% and 20%.

I take it the current signal is a VST Buy. Yes? How long or until what condition occurs does this VST Buy stay in effect? TIA, D

This post has been edited by IYB: Nov 28 2011, 03:56 PM


--------------------
Insanity: doing the same thing over and over again and expecting different results....Albert Einstein
Go to the top of the page
 
+Quote Post
OEXCHAOS
post Nov 28 2011, 04:05 PM
Post #5


Mark S. Young


Group: Admin
Posts: 16143
Joined: 20-August 03
From: CVG
Member No.: 3



A couple days, no more than 4.

BUT, it can last longer, take a look at the past readings. All the charts are there.

I should probably upload hard data for your guys study.

Mark


--------------------
Mark S Young
Wall Street Sentiment
WallStreetSentiment.com
You can now follow me on twitter
Go to the top of the page
 
+Quote Post
dTraderB
post Nov 28 2011, 04:33 PM
Post #6


Member


Group: Traders-Talk User
Posts: 1050
Joined: 20-June 04
Member No.: 2007



also look at the UP - Down volume last week.

On a few hourly bars it was higher than 50 to 1
Go to the top of the page
 
+Quote Post
OEXCHAOS
post Nov 9 2012, 10:12 AM
Post #7


Mark S. Young


Group: Admin
Posts: 16143
Joined: 20-August 03
From: CVG
Member No.: 3



Charts are again updated. Time to take another look, folks. smile.gif

Mark


--------------------
Mark S Young
Wall Street Sentiment
WallStreetSentiment.com
You can now follow me on twitter
Go to the top of the page
 
+Quote Post
Rogerdodger
post Dec 27 2012, 10:41 AM
Post #8


Member
Group Icon

Group: TT Member*
Posts: 21267
Joined: 13-January 04
From: T Town
Member No.: 1054



2 years: 2011-2012:


--------------------
Go to the top of the page
 
+Quote Post
gm_general
post Mar 6 2014, 12:12 AM
Post #9


Member


Group: TT Member+
Posts: 921
Joined: 13-January 04
Member No.: 1041



Interesting sentiment chart:

Go to the top of the page
 
+Quote Post
OEXCHAOS
post Mar 8 2014, 07:57 PM
Post #10


Mark S. Young


Group: Admin
Posts: 16143
Joined: 20-August 03
From: CVG
Member No.: 3



I just wrote a piece on this. It's in the Market Analysis area.

QUOTE (gm_general @ Mar 6 2014, 12:12 AM) *
Interesting sentiment chart:



--------------------
Mark S Young
Wall Street Sentiment
WallStreetSentiment.com
You can now follow me on twitter
Go to the top of the page
 
+Quote Post



Reply to this topicStart new topic

 



RSS Lo-Fi Version Time is now: 18th April 2014 - 06:15 PM
The Financial Ad Trader
The Financial Ad Trader