The S&P500 and the Greed vs Fear Index

January 2, 2013 by · 1 Comment
Filed under: Greed versus Fear index 

In November, I mentioned an article by Chuck Jaffe entitled “Kiss 10% market returns goodbye” (see article here –> http://www.marketwatch.com/story/kiss-10-market-returns-goodbye-2012-11-03?link=MW_story_popular).

Chuck wrote: “Ask most investors what they expect to get from the stock market and the answer is typically 10%. That’s a homage to an old study by Roger Ibbotson and Rex Sinquefeld that showed several generations of investors that stocks average that level of return — albeit before any transaction costs — over time.” He quotes Ibbotson as saying that the long term market returns, starting in 1926, have averaged 9.8% per annum for large cap stocks, but that this is influenced by inflation rates that are higher than they are today.

As of October 31st, the Greed vs Fear index showed that the S&P500 has grown at an average annual return of 7.16% since 1950, but at a much more modest annual return of just 4.14% after taking into account inflation.

Updating these growth figures as of the end of December 2012, the average annual growth rate is now 7.15%, or 4.13% after inflation.

The Index is currently 10.35% undervalued (see below), and has not been overvalued since June 2008.  However there is no guarantee that it will return to fair value any time soon (see graphs below)

 

Greed vs Fear Index scores for the US S&P500 – December, 2012:

Greed vs Fear index value: -47.4

Greed vs Fear current state:  Rational (Rational requires a score between -50 and +50)

Greed vs Fear index value change:- From last month: +2.3 (figures are corrected when CPI data is released).

Over past 12 months: +30.2

Relative current value of S&P500: -10.4% (underpriced)

Current value change:- from last month: +0.5%   Over past 12 months: +6.0%

Current View of the Greed vs Fear Index score for the S&P 500 Index, and a comparison of the current state (1984 to present) with the post war period (1950-1984):

SandP Greed vs Fear 201212 S&P comparison 201212

 

 

 

Greed vs Fear Index: Australian market continues to rise.

January 2, 2013 by · Leave a Comment
Filed under: Greed versus Fear index 

As of End of Year Market Close on Monday December 31st, the Australian All Ordinaries index, based on its Relative Real long term average growth rate, continued its rise of the past 3 months to be 26.9% undervalued.

Greed vs Fear Index scores for the Australian All Ordinaries – December 31st, 2012:

Greed vs Fear index value: -135.9 (data refreshed with Sep ’12 CPI data)

Greed vs Fear current state: Loathing (up from Terror, where it has remained for the past 5 months)

Greed vs Fear index value change: From last month: +11.9  (figures are corrected when CPI data is released).

Over past 12 months: +26.6

Relative current value of All Ords: -26.9% (underpriced)

Current value change:- from last month: +2.0%    Over past 12 months: +4.3%

Current View of the Greed vs Fear Index score for the Australian All Ordinaries, and a comparison of the current state (1985 to present) with the post war period (1949-1985):

AllOrds Greed vs Fear 201212

Australian All Ordinaries comparison 201212

 

 

Lack of updates

December 31, 2012 by · Leave a Comment
Filed under: YOHF General 

Apologies for the lack of updates – particularly to those of you who track the fear vs greed data. My full time job has kept me very busy, and although that is not about to change, I’l try harder to post in a more timely manner.
Andrew

2012/10: Performance versus Quantitative Directional Hedge Fund Index

 

I report performance twice most months, against two benchmark figures, and this is the second of those.  It is delayed until mid-month as this timing reflects the release of Hedge Fund Research Inc’s Index data for prior months:

Hampton Active Diversified Fund No.1 (vs HFRX Quantitative Directional Index – see www.hedgefundresearch.com)

October 2012

(Note: HFRX frequently adjust performance data for the immediate past month)..

Hampton Active Diversified Fund No.1 return:  +1.69% (vs Index -0.22%)

Alpha (Stock Selection) Performance: +1.78%   – against HFRX Quantitative Directional index

Market Timing Performance: -0.11%

Active performance: +1.67%

Since Launch 01/07/10

Total Return: +73.61% (vs Index+7.03% )

Alpha (Stock Selection) Performance: +67.41% - using HFRX Quantitative Directional index

Market Timing Performance: -4.71%

Cumulative Active performance: +59.09%

Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products

Why the S&P500 is still cheap: Fear vs Greed Index

I regularly (more frequently than daily) read Marketwatch.  Today there appears an interesting article by Chuck Jaffe entitled “Kiss 10% market returns goodbye” (see article here –> http://www.marketwatch.com/story/kiss-10-market-returns-goodbye-2012-11-03?link=MW_story_popular).

Chuck writes: “Ask most investors what they expect to get from the stock market and the answer is typically 10%. That’s a homage to an old study by Roger Ibbotson and Rex Sinquefeld that showed several generations of investors that stocks average that level of return — albeit before any transaction costs — over time.” He quotes Ibbotson as saying that the long term market returns, starting in 1926, have averaged 9.8% per annum for large cap stocks, but that this is influenced by inflation rates that are higher than they are today.

This article reinforces to me the value of the Greed vs fear Index.  As I have discussed many times in the past, this Index conveys the Inflation Adjusted rate of return for the S&P500 index over an extended timeframe (in my case, my data goes back to 1950).  Using a line of best fit over the inflation adjusted returns, this Greed vs Fear index shows that the S&P500 has grown at an average annual return of 7.16% since 1950, but at a much more modest annual return of just 4.14% after taking into account inflation.  The Index is currently 11.64% undervalued (see below), and has not been overvalued since June 2008.  However there is no guarantee that it will return to fair value any time soon (see graphs below)

 

Greed vs Fear Index scores for the US S&P500 – October, 2012:

Greed vs Fear index value: -53.7

Greed vs Fear current state:  Fear (Fear requires a score between -50 and -100)

Greed vs Fear index value change:- From last month: -11.8 (figures are corrected when CPI data is released).

Over past 12 months: +24.4

Relative current value of S&P500: -11.6% (underpriced)

Current value change:- from last month: -2.4% Over past 12 months: +4.8%

 

 

 

 

 

 

 

2012/10: Hampton Active Diversified Fund No. 1

Unit Price: $1.7361

October return: 1.69%

Another solid month in Australian equities, but a disappointing month with US Equities, and a reasonable month in Futures.

 

Most recent Month: October 2012

Month return: +1.69% (versus Equity Market Benchmark return of -1.43%)

Alpha (Stock Selection): +2.72%

Market Timing: -0.33%      - The Fund average exposure level (or leverage) during the month was 78.15%

Active Returns: +2.39%

Note: For some guidance on the above variables and there means of calculation, refer to this entry –> http://yohf.net/2010/06/08/measuring-hedge-fund-performance-active-returns-versus-alpha/

Two Years Since launch (July 1st, 2010): Total Return: +73.61% (versus Equity Benchmark of +23.05%)

Alpha (Stock Selection) Performance: +56.57% – using existing ASX200/Nasdaq benchmark and a Long Term (7 years+) expected Average Net Exposure.

Market Timing Performance: -7.19%

Cumulative Active performance+45.65%

Unit Price as of 31st October 2012: $1.7361 — (Initial Unit Price at Launch on July 1st 2010: $1.0000).

Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products

Greed vs Fear Index: Australia rises from its state of Terror!

 

As of Market Close on Wednesday October 31st, the Australian All Ordinaries index, based on its Relative Real long term average growth rate, rose slightly to be 28.5% undervalued.

Greed vs Fear Index scores for the Australian All Ordinaries – October 31st, 2012:

Greed vs Fear index value: -145.6 (data refreshed with Sep ’12 CPI data)

Greed vs Fear current state: Loathing (up from Terror, where it has remained for the past 5 months)

Greed vs Fear index value change: From last month: +10.6  (figures are corrected when CPI data is released).

Over past 12 months: -11.0

Relative current value of All Ords: -28.5% (underpriced)

Current value change:- from last month: +1.7%    Over past 12 months: -1.8%

 

Greed vs Fear Index: S&P500 returns to a Rational state

October 23, 2012 by · Leave a Comment
Filed under: Greed versus Fear index 

Greed vs Fear Index scores for the US S&P500 – September, 2012:

Greed vs Fear index value: -43.0

Greed vs Fear current state:  Rational (Rational requires a score between -50 and +50)

Greed vs Fear index value change:- From last month: +7.3 (figures are corrected when CPI data is released).

Over past 12 months: +80.1

Relative current value of S&P500: -9.4% (underpriced)

Current value change:- from last month: +1.5% Over past 12 months: +15.3%

2012/09: Performance versus Quantitative Directional Hedge Fund Index

 

I report performance twice most months, against two benchmark figures, and this is the second of those.  It is delayed until mid-month as this timing reflects the release of Hedge Fund Research Inc’s Index data for prior months:

Hampton Active Diversified Fund No.1 (vs HFRX Quantitative Directional Index – see www.hedgefundresearch.com)

September 2012

(Note: HFRX frequently adjust performance data for the immediate past month)..

Hampton Active Diversified Fund No.1 return:  +0.95% (vs Index -0.28%)

Alpha (Stock Selection) Performance: +1.10%   – against HFRX Quantitative Directional index

Market Timing Performance: -0.14%

Active performance: +0.96%

Since Launch 01/07/10

Total Return: +70.72% (vs Index+7.26% )

Alpha (Stock Selection) Performance: +64.48% - using HFRX Quantitative Directional index

Market Timing Performance: -4.61%

Cumulative Active performance: +56.49%

Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products

Greed vs Fear Index: Australian market remains 30% undervalued at 4400.

October 9, 2012 by · Leave a Comment
Filed under: Greed versus Fear index 

As of Market Close on Friday September 28th, the Australian All Ordinaries, based on its Relative Real long term average growth rate, remains 30% undervalued.

Greed vs Fear Index scores for the Australian All Ordinaries – September 30, 2012:

Greed vs Fear index value: -155.2 (data refreshed with Jun ’12 CPI data)

Greed vs Fear current state: Terror! (where it has remained for the past 5 months)

Greed vs Fear index value change: From last month: +4.1  (figures are corrected when CPI data is released).

Over past 12 months: +8.2

Relative current value of All Ords: -30.0% (underpriced)

Current value change:- from last month: +0.7%    Over past 12 months: +1.3%

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