Short term sentiments

HenryTo · Posted: Tue Aug 28, 2007 12:51 pm Post subject:

NYSE ARMS just hit 2.5 earlier. Market should at least stablize at around current levels. The real action probably won't start until next week (after Labor Day Weekend) at the earliest.

jchen0119 · Posted: Tue Aug 28, 2007 3:00 pm Post subject:

http://stockcharts.com/charts/gallery.html?%24trin

Arms Index closed at 3.22 as selling intensified and decline steepened going into the close.

Jing

nodoodahs · Moderator Joined: 06 May 2005 Posts: 1731 Location: TX

Yen 114.18.

May get some action out of GDP, Initial Claims on Thursday, and out of PCE and Income numbers Friday.
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rffrydr · Posted: Wed Sep 05, 2007 1:08 am Post subject:

New month money did not go to retailers today: WalMart, HD, Target, Kohls down. Storms and refineries boosting OIL. Fed comments take a cut out of financials in the end--the last 15minutes with the Dow already closed.

CNBC turning to wise old men with the message: "so long as there's not anohter shoe to drop;" and "we don't know what we don't know."

Question: is it the Bull driving APPL and QQQQ? --or, is it the Bear?
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Today is the Tomorrow you worried about Yesterday!

HenryTo · Posted: Mon Sep 10, 2007 7:03 pm Post subject:

ISE Sentiment closed at 90 today.

However, one reading such as this is not sufficient for an oversold condition, especially given that we had two 150+ readings on Thursday and Friday last week. Moreover, the latest HSNSI reading is at 17.4% - up nearly 30% from the -12% readings of mid August.

Combined with the failed rally in the stock market today, chances are that the short-term trend remains down, for now.

jchen0119 · Posted: Mon Sep 10, 2007 11:38 pm Post subject:

Henry:

I would not call today's action a failed rally. I would call it a trading range. If you are bullish, you can call it failed breakdown. If you are bearish, you can call it a failed rally. But the indices finished mixed, so it is the old half full/empty story.

Regarding ISE sentiment index, I think 10-day average is probably more reliable than individual readings.

Thanks

Jing

rffrydr · Posted: Tue Sep 11, 2007 12:18 am Post subject:

Russell badly underperformed. I'd call it a failed rally--although interesting it managed that during the Yellen news.
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Today is the Tomorrow you worried about Yesterday!

HenryTo · Posted: Tue Sep 11, 2007 12:27 am Post subject:

Call it what you will - the market dropped 2% on Friday. It was oversold in the short-run. The market (S&P 500) managed to rise to 1460 this morning. sold off, and then hit a high of 1462 before selling off again. The market was due to rally - and yet, it failed. Yes, I would call this a "failed rally."

Also, decliners outpaced advancing issues by 3-2 while declining volume outpaced advancing volume 2-1 on the NYSE. Six of the ten major sectors in the S&P 500 declined, with the worst performing sector (materials) declining 0.62% and the best performing sector (consumer staples) only rising 0.26%.

The S&P 500 is now down more than 100 points from its highs. I wouldn't call this a trading range (I don't deal with hour-to-hour action. since most stuff is really just noise within that timeframe). We also keep track of the ISE Sentiment on both a 20-day and a 50-day MA basis - that is published in our commentaries every Monday morning.

Henry

jchen0119 · Posted: Tue Sep 11, 2007 10:37 am Post subject:

Hi, Henry:

Let's look at this discussion again a month from now. I think it will probably add a more interesting perspective. I am not sure how the market will go from here, but I like to review my thoughs once in a while with enough hindsight to see where I was wrong or right. And this board is one of the places I get my thoughts documented for a later review, when the outcome is better known and understood.

Thanks

Jing

rffrydr · Posted: Tue Sep 11, 2007 10:44 am Post subject:

That "noise" is getting louder and louder.

Will cover my HYG high yield and GM bonds today. Hang on to some RMH (which has no market anyway) long-term with a Swap Rate or some kinda hedge just pick off some of that yield while it lasts (famous last words.)
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Today is the Tomorrow you worried about Yesterday!

diesel

Goldmans Global Alpha Fell 22pc In August, 44pc since its peak in March 2006. Investors want out like you said Master H.

http://www.bloomberg.com/apps/news?pid=20601087&sid=aNuaC.IG9pWs&refer=home

rffrydr · Posted: Thu Sep 13, 2007 7:57 am Post subject:

Many of the quant funds have made back most of their losses=liquidity pinch more than anything. New funds are placed to come to market. Isn't that just like "quant guys"?
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Today is the Tomorrow you worried about Yesterday!

HenryTo · Posted: Thu Sep 13, 2007 9:31 am Post subject:

Amazing - they were long the AUD against the Yen right before the huge break - a trade that any rookie (or housewife in Tokyo) could and would have put on. Why would anyone pay them 2/20 just so they can put on a simple carry trade? They also lost quite a sum during 2006 and this year by going short the Canadian dollar, and going long the USD against many currencies (from what I've read). Correct me if I am wrong on this: It is not so much that they're making all kinds of wrong currency bets - but it seems like they have lost "their cool" and reversed their positions right before the big break in late July/early August.

HenryTo · Posted: Thu Sep 13, 2007 11:14 am Post subject:

Another issue for discussion is whether the Global Alpha Fund is able to maintain its personnel and whether it is keeping to its processes.

For example, as an institutional investment consultant/investor, I am "okay" (but not happy) with my quant portfolio losing money during August because I know their investment processes are sound in the long-run and that it didn't hurt them enough for talent to leave. The quant portfolio I hold is just a small part of my portfolio - it is good for diversification purposes and once in a while, a "Black Swan" like this will occur - I just need to make sure I am in the fund that is not overleveraged and that also have some kind of "street smarts" such as Jim Simon's hedge fund.

The Global Alpha fund from Goldman concerns me because:

1) The huge 40%+ drawdown - meaning, by definition, that there will be personnel issues going forward, especially at the analyst level.

2) From the huge AUD/Yen trade that they made, it seemed like they're not sticking to their investment process, when they were long the US$ and short the Canadian dollar in bulk just earlier this year. I really don't see how they can justify a position like this without changing their fundamental outlook or their investment process (such as switching from a relative value model to a momentum model). This concerns me much more than the 40% drawdown. It seems like they're losing control and getting desperate.