Please see this post for an explanation of the risk asset index that I recently constructed (top chart); this post will provide background regarding the risk asset oscillator (bottom chart).
We can see that risk themes (U.S. stocks, emerging market shares, oil, Treasury rates, and inverse USD) have been moving higher in recent sessions, but we're not at this point seeing a breakout above January highs. Our risk oscillator, which assesses recent risk appetite, has done a reasonable job as a short-term contrary indicator: it is showing levels of risk appetite approaching levels associated with short-term tops in U.S. stocks.
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5 comments:
Brett,
What is the formula for the risk oscillator?
Hi Madi,
Most my new indicators stay proprietary; sorry--
Brett
I think that within the described risk index --- there was a major rotation toward US equities -- while emerging markets have become much more mixed. Back in Sep-Oct, Brazil, India and Russia ranked among the highest relative strength -- that changed late last year. Emerging markets are pretty mixed. Big money has moved to US Equities, you can see it in the # of US based ETFs that litter the top of the performance rankings.
Avoid europe is where money is coming from imo....
http://www.etfreplay.com/screener.aspx
hey big guy - what books do you recommend to create your own models?
Very sorry, Stock Speculator, but I'm entirely self-taught. Grad courses in stats and basic education with Excel are my background.
Brett
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