Rendimento das famílias trava a fundo no início do ano

[Davos]

Eu costumo consultar aqui este ratio:

http://stockcharts.com/def/servlet/SC.w ... X:RYURX,uu[h,a]dallnyay[dd][pd21,2][vc60][i]&pref=G

Um abraço,

[Matraquilho]

já agora o gráfico desde Abril de 1994 até hoje...

[Matraquilho]

Obrigado La Palisse...


Rapara que o gráfico a vermelho é o S&P 100 (OEX) e o gráfico a azul é o Rydex Nova/Ursa Ratio, este último funciona como indicador contrário, ou seja quanto mais baixo estiver maior é as possibilidades de um rebound no mercado....e atenção porque esté neste momento no valor mais baixo de todo o bear market, no entanto é natural que durante o bear market o grau de pessimismo dos intervenientes no mercado aumente, tal como se pode ver no gráfico, os minimos do Rydex Nova/Ursa Ratio têm vindo a ser cada vez menores ao longo do bear market, significando um cada vez maior numero de posições no mercado do lado do fundo Ursa que são as que ganham com as quedas do indice S&P....

Portanto neste momento o Rydex Ratio está a sinalizar um grau de pessimismo muito elevado o que pode provocar um ressalto mais ou menos relevante....


um abraço

[La Palisse]

estes gráficos,de facto não os conhecia,é incrivel o nº de ferramentas existente que podem auxiliar o posicionamento no mercado ,a maioria das quais desconhecida da maioria.já agora podias dizer-me qual a ilação que se pode tirar destes resultados?parece-me que o facto de o Nav estar no valor mais baixo dos ultimos tempos(incrivelmente baixo ,ou sou eu que estou a ver mal?),é bastante bear.será que estou a fazer a leitura correcta ou é exactamente ao contrário?desde já obrigado.abraço

[Matraquilho]

Desde 1, Janeiro de 2000

[Matraquilho]

Rydex (800-717-7776) is a mutual fund company that has (among others) two funds that target opposite moves in the S&P 500 Index (SPX). The Rydex Nova fund (RYNVX) is leveraged for advances in the SPX. In other words, it will increase in value by more than one percentage point for every percentage point advance in the SPX. By contrast, the Rydex Ursa fund (RYURX) targets a downward move in the SPX. It tends to go up in value when the SPX declines. Since these two funds are quite clear about their respective bullishness or bearishness, the amount of money flowing either into or out of these funds gives us an indication of investor sentiment. For this, we compare the assets in one fund to the other in ratio form (Nova assets divided by Ursa assets).

We can make a general statement that a high reading in the Nova/Ursa ratio (N/U) is an indication of investor optimism because more assets have moved into the bullishly poised Nova fund relative to the bearishly poised Ursa fund. Also, low readings represent investor pessimism because the Ursa fund is the subject of more relative asset allocation. Because optimism can be dangerous for stocks, high readings in the N/U should be viewed as potentially bearish for stocks. On the other side of the coin, low N/U readings tend to be bullish.

The generality of the asset comparison must be modified somewhat because it does not provide completely accurate figures. The asset amount in a fund can change due to changes in the net asset value (NAV). Assets will likely grow if the market is moving in the direction targeted by the fund, so this change in asset value cannot be attributed to investor sentiment. Therefore, we must adjust the assets in the funds by dividing them by the NAV and then take a ratio of these (essentially a ratio of ratios). The resulting number reflects the assets in the fund, but changes in the NAV are canceled out by the corresponding change in the assets. This adjusted N/U (N/Ua) is a clear illustration of the funds’ asset inflows and outflows without the effect of changes in the NAV. Such an illustration tells us if investors are migrating to the bullish or bearish camp.

After having established how to collect the sentiment data in these funds, we must determine what constitutes an extreme in either optimism or pessimism. An environment wrought with optimism reflects depleted buying strength – a condition that could lead to a market decline. Also, extreme pessimism suggests all the selling has been completed and a rally could be in the offing. To determine what N/Ua ratio can be considered extreme, we compare the ratio to all others over the course of the prior year, and then rank each according to their percentile. For example, if today’s reading is higher than any other over the prior year, its percentile rank would be 100%.

Absolute levels are also used to evaluate this ratio. Readings that are trending higher from an absolute low level of .40 or less are considered bullish. Bearish conditions exist when the ratio exceeds values of 1.20. Readings that reach levels in excess of 1.40 normally signal major market tops.