Chart Booklet - McClellan Financial Publications

Transcription

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McClellan Seminar, April 27, 2002
McClellan Market Analysis
• Breadth & volume indicators
• Price indicators
• Sentiment indicators
©2002, McClellan Financial Publications
1
400
1600
DAILY A-D DIFFERENCE
1200
10% TREND
5% TREND
350
800
300
400
250
0
200
-400
150
-800
100
-1200
50
-1600
0
-2000
-50
-2400
-100
McClellan Oscillator
-2800
-150
941101
941201
950103
950201
950303
950403
950503
Oscillators:
• Move up and down between extremes of
overbought and oversold.
• Have a neutral level.
• May show divergences which indicate loss of
trending strength.
• Work great in sideways markets, suffer during
trending markets.
2
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
A
B
C
D
DATE
ADV
DECL
A-D
930701
930702
930706
930707
1185
826
856
1016
825
1083
1128
908
E
F
10%
5%T
TREND TREND
112.248
59.039
137.023
74.087
97.621
57.533
60.659
41.056
65.393 44.403
360
-257
-272
108
G
McC
OSC
53.209
62.936
40.088
19.603
20.990
H
SUMM
INDEX
1111.507
1174.443
1214.532
1234.134
1255.124
Sample Calculations:
10%T(2) = 0.1 x (A-D) + 0.9 x 10%T(1)
ce ll E130: +0.1*D 130+0.9*E 129
65.393 = (0.1 x 108) + (0.9 x 60.659)
5%T(2) = 0.05 x (A-D) + 0.95 x 5%T(1)
ce ll F130: +0.05*D 130+0.95*F129
44.406 = (0.05 x 108) + (0.95 x 41.056)
McC OSC = 10%T - 5%T
Summ Index (Today) = SI (Yesterday) + McC Osc (Today)
20.990 = 65.393 - 44.403
ce ll G130: +E 130-F130
1255.124 = 1234.134 + 20.990
ce ll H 130: +H 129+G130
3
NYSE CU M U LATIVE ADVANCE -DE CLINE LINE
-25
-30
Thousands
-35
-40
-45
-50
CUM . A-D
5% TREND
10% TREND
1% TREND
-55
28-Feb-01
30-Apr-01
28-Jun-01
28-Aug-01 01-Nov -01
03-Jan-02
06-Mar-02
06-May -02
DAILY CU M U LATIVE U P-DOWN VOLU M E LINE
58
55
M illions
52
49
46
CUM . U-V
5% TREND
10% TREND
1% TREND
43
28-Feb-01
30-Apr-01
28-Jun-01
28-Aug-01 01-Nov -01
03-Jan-02
06-Mar-02 06-May -02
4
-30000
2800
2600
DJIA
-34000
2400
-38000
2200
-42000
2000
-46000
1800
-50000
1600
-54000
NYSE A-D LINE
-58000
-62000
1400
Having the A-D Line make lower
lows is not necessarily a sign of
1200
weakness. One must look at
the strength of the moves. 1000
870105
870706
880104
880701
881230
890630
891229
870403
871002
880404
880930
890403
890929
5
100000
1100
DJIA
NYSE A-D LINE PEAK
80000
1000
60000
900
40000
800
20000
700
0
600
-20000
500
-40000
400
-60000
300
-80000
200
530107
570103
601227
641223
690127
730119
550105
581231
621226
661220
710125
750116
60
40
.
Chart courtesy of McClellan
Financial Publications, Inc.
(800) 872-3737
DJIA
Thousands
20
0
-20
-40
ADVANCE
DECLINE
LINE
-60
-80
280103
330525
380920
440110
490808
550729
611129
680401
740905
801229
870421
930810
991202
6
50
60
CUMULATIVE
40
UP-DOWN VOLUME LINE
30
50
20
40
0
Millions
Thousands
10
-10
1% TREND
-20
30
-30
-40
20
-50
-60
DAILY CUMULATIVE ADVANCE-DECLINE LINE
-70
920102
931231
921231
960103
950103
980102
970102
10
000105
990105
020108
010105
McClellan Oscillator Basics
• Divergences show loss of trending
strength.
• Trend line breaks show reversal.
• Extreme low readings show conclusion.
• Extreme high readings show initiation.
• Complex structures indicate strength for
that side of the zero line.
• Simple structures imply weakness.
7
675
NYSE COMP
750
675
650
600
525
625
450
375
600
300
225
575
150
75
550
0
-75
525
-150
-225
McCLELLAN OSCILLATOR
500
-300
990202
990405
990603
990803
991001
991201
000201
000331
525
11500
DJIA
450
11000
375
10500
300
225
10000
150
9500
75
0
9000
-75
8500
-150
Congestion zones are
something to drop out of
8000
000202
000303
000403
000503
000602
000703
-225
000802
000831
001002
001031
8
400
2800
300
DJIA
2400
200
2000
100
1600
0
1200
-100
800
-200
-300
400
0
870505 870706 870902 871102 880104 880303 880503 880701 880831 881031
4100
400
DJIA
300
3900
200
3700
100
3500
0
3300
-100
-200
3100
2900
-300
930804 931004 931202 940201 940404 940603 940803 941003 941201 950201
9
11500
700
DJIA
600
10500
500
9500
400
8500
300
7500
200
100
6500
0
5500
-100
4500
-200
3500
-300
980102 980305 980505 980706 980902 981102 990104 990305 990505 990706
500
11500
400
DJIA
300
11000
10500
10000
9500
200
9000
100
8500
0
8000
7500
-100
7000
6500
-200
6000
-300
5500
5000
-400
000601 000801 000929 001129 010131 010402 010601 010801 011005 011205
10
640
500
NYSE COMP
400
600
300
560
Complex
520
Divergence
Simple
200
100
480
0
440
-100
400
Congestion
Simple
Complex
-200
360
-300
320
-400
010703
010802 010831
011002
011031 011130
020102
020201
020305 020404
020503
Other A-D Lines
• Can be used, but with caution
• Groups too much alike will behave too
much alike for A-D Line to be useful
• Different rules apply for different indicators
11
12000
800
700
DJIA
11000
600
10000
500
9000
400
8000
300
200
7000
100
1% TREND
6000
0
-100
5000
-200
4000
-300
DJIA ADVANCE - DECLINE LINE
3000
-400
2000
-500
970303
971029
980701
990303
991029
0
000629
010301
011102
3.7
3.6
3.5
3.4
NASDAQ COMP
LOG SCALE
-20
-40
-60
3.3
3.2
3.1
3
2.9
-80
-100
Thousands
-120
-140
2.8
2.7
-160
-180
2.6
2.5
2.4
-200
-220
2.3
2.2
2.1
2
-240
-260
-280
-300
NASDAQ DAILY A-D LINE
-320
-340
730102
760105
790105
820107
850107
880107
910108
940106
970108
1.9
1.8
1.7
000111
12
112
38
DJ 20 Bonds Average
108
36
104
Thousands
34
100
96
32
30-year T-Bonds
92
30
88
84
28
80
26
76
CORP BONDS A-D LINE
With 1% Trend
24
960105
970103
980102
990104
72
000103
010102
020108
50000
20000
NYSE COMPOSITE A-D LINE
40000
10000
0
30000
-10000
20000
-20000
10000
-30000
0
-40000
-10000
-50000
-60000
-20000
-70000
-30000
-80000
COMMON ONLY DAILY A-D
-40000
-90000
-50000
-100000
960105
970103
980102
990104
000103
010102
020108
13
700
140000
120000
600
NYSE COMP
100000
500
80000
400
60000
Composite A-D Line
300
40000
200
20000
100
0
-20000
0
10/3/88 = 0
The "Pure Common" A-D data
removes preferred stocks,
warrants, and closed end funds.
-40000
-60000
10/03/88
10/03/90
10/02/92
10/04/94
-100
Common Only A-D
"Pure Common" A-D
-200
10/03/96
10/06/98
10/06/2000 10/16/2002
700
7000
600
6000
NYSE COMP
5000
500
4000
400
3000
300
2000
200
1000
100
0
0
-1000
10/3/88 = 0
-100
Closed End Funds A-D Line
-200
-2000
-300
-3000
10/03/88
10/03/90
10/02/92
10/04/94
10/03/96
10/06/98
10/06/2000
14
2.85
90000
NYSE COMP (LOG SCALE)
2.8
85000
2.75
80000
2.7
75000
2.65
2.6
70000
2.55
65000
"UNCOMMON" A-D LINE
2.45
2.4
55000
960105
970103
980102
990104
000103
010102
020108
5400
4800
2.5
With 1% Trend
60000
3.7
NASDAQ 100 INDEX
3.5
LOG SCALE
4200
3.3
3600
3.1
3000
2.9
2400
2.7
1800
1% TREND
1200
2.5
2.3
600
2.1
0
NASDAQ 100 DAILY A-D LINE
1.9
-600
960802 970403 971201 980803 990405 991201 000801 010402 011205 020807
15
28
3.4
NASDAQ 100 INDEX
24
LOG SCALE
3.3
20
3.2
16
3.1
12
3
8
2.9
4
2.8
0
2.7
-4
2.6
-8
NASDAQ 100 McCLELLAN A-D OSCILLATOR
-12
010330
010531
010731
011004
2.5
011204
020205
020408
30
2000
28
NASDAQ 100 INDEX
26
24
1800
1600
22
1400
Millions
20
18
1200
16
10% TREND
1000
14
800
12
10
UP-DOWN VOLUME LINE
8
600
Nasdaq 100 Stocks
400
6
010628 010730 010828 011003 011101 011203 020103 020204 020306 020405 020506
16
40
550
RUSSELL 2000 INDEX
38
500
36
Millions
34
450
32
10% TREND
400
30
28
350
UP-DOWN VOLUME LINE
26
NASDAQ ex-NDX
24
300
010628 010730 010828 011003 011101 011203 020103 020204 020306 020405 020506
17
Price Indicators
• Unlike A-D numbers, no limit on how far
prices can move in one day
• Indicators behave differently for different
categories, e.g. stocks, bonds,
commodities
Exponential Moving Averages
• Weights recent data more heavily than
older data
• Smoothing constant determines how “fast”
the moving average reacts to data.
• Some people refer to EMAs by a time
component, e.g. 39-day EMA
2
Smoothing Constant = ---------------
n + 1
1
10%Trend (19-day EMA)
• 10%T = 0.1xPRICETODAY + 0.9 x 10%TPREV
• Each preceding day’s data becomes less
important
1300
SP500
1200
1100
10% TREND
1000
19-DAY SMA
900
980102
980305
980505
980706
980902
981102
990104
2
McClellan Price Oscillator
• Like McClellan A-D Oscillator, it is the
difference between 10%T and 5%T of
closing prices.
• Trending price moves cause 10%T to
move faster than 5%T, increasing the
separation between the two.
360
8400
DOW JONES INDUSTRIALS
10% TREND
8200
320
5% TREND
280
8000
240
7800
200
7600
160
7400
120
7200
80
40
7000
0
6800
-40
6600
McCLELLAN PRICE OSCILLATOR
-80
-120
6400
970702
970801
970902
971001
971030
971201
971231
3
80
3.2
SP500
3.1
70
Log Scale
60
3
50
2.9
40
2.8
30
2.7
20
2.6
10
2.5
0
2.4
-10
PRICE OSCILLATOR
2.3
2.2
-20
-30
Price Oscillator amplitudes rise
as price level goes higher
2.1
-40
-50
2
930106
940105
950105
960104
970102
971231
981231
991231
001229
020107
030107
3.2
0.07
SP500
3.1
Log Scale
3
0.05
2.9
2.8
0.03
2.7
2.6
0.01
2.5
2.4
2.3
-0.01
PROPORTIONAL PRICE OSCILLATOR
2.2
2.1
2
-0.03
Dividing the standard Price Oscillator by the closing price corrects
for price rise, making long term comparisons more meaningful.
930106
940105
950105
960104
970102
971231
981231
991231
001229
-0.05
020107
030107
4
Price Oscillator Basics
• Direction gives indication of price trend
• Extreme levels show extended price
conditions
• Smooth Price Oscillator shows strength of
trend
• Bumpy Price Oscillator means weak trend
• Watch out for fishhooks!
485
8
SP500
7
470
6
5
455
OT
H
SM
O
PY
M
U
B
3
2
H
OT
425
BU
MP
Y
O
SM
440
SM
OO
TH
4
BUM
PY
1
0
Price Oscillator
410
-1
-2
395
-3
930401
930602
930802
930930
931201
940131
940331
5
1000
950
900
850
800
30
FISHHOOKS:
1. Usually seen following smooth decline
from a high Price Oscillator peak.
SP500
27
24
2. Can lead to very serious declines once
Price Oscillator turns down again.
21
18
750
700
15
650
12
600
9
550
6
500
3
450
0
400
-3
350
PRICE OSCILLATOR
300
250
-6
-9
960201 960402 960603 960801 961001 961129 970130 970402 970602 970731 970930
6000
680
NYSE Comp
5000
650
620
4000
590
3000
560
2000
530
500
1000
470
0
-1000
NYSE A-D Summation Index
440
Fishhooks also appear in chart of
McClellan A-D Summation Index.
410
-2000
01-Nov-00 03-Jan-01 06-Mar-01 04-May-01
380
05-Jul-01 04-Sep-01 01-Nov-01 03-Jan-02 06-Mar-02
6
1500
70
SP500
60
1400
50
10% TREND
1300
40
1200
30
PRICE OSCILLATOR
C
1100
20
D
A
10
B
1000
0
900
-10
Not all fishhooks lead to tragic
declines, but they do bear watching.
800
-20
990104
990305
990505
990706
990902
991102
000103
40
340
35
320
30
SP500
300
25
280
20
260
15
10
240
5
220
200
180
0
Sometimes fishhooks
don’t matter.
But other times
they really do.
160
-5
-10
-15
Price Oscillator
-20
140
-25
870102
870304
870504
870702
870901
871030
871231
880302
880502
880630
7
Price Oscillator Unchanged Level
• The closing price needed for the Price
Oscillator to be unchanged from one day
to the next.
• If price is above that level, Price Oscillator
rises; below that level, it falls.
• Acts as support/resistance line, like a
moving average.
• Calculated as 10% Trend + Price Osc.
1200
CASH SP500
1170
OSC UNCH
1140
1110
1080
1050
011031
011130
020102
020201
020305
020404
8
1200
CASH SP500
1170
1140
1110
1080
OSC UNCH
When lines all come together, we
call that a “Rainbow Convergence”
1050
10%T
5%T
SUM/10
1020
011003
011101
011203
020103
020204
020306
020405
Rainbow Convergences
• Occur when moving average lines come
together on the chart.
• Also mark point when Price Oscillator
crosses below zero (by definition).
• Usually mark end of short term move.
• In a small percentage of cases, prices
retrace toward the point of the
convergence then resume trend.
9
9400
DOW JONES INDUSTRIALS
9200
9000
8800
8600
8400
8200
8000
OSC UNCH
10%T
7800
5%T
7600
SUM/10
7400
980402
980504
980603
980702
980803
980901
981001
2100
NASDAQ COMPOSITE
2000
1900
1800
1700
OSC UNCH
10%T
5%T
1600
SUM/10
1500
011003
011101
011203
020103
020204
020306
020405
10
120
119
DOLLAR INDEX
118
117
116
115
114
113
112
OSC UNCH
111
10%T
110
5%T
109
SUM/10
108
107
000828
000927
001026
001127
001227
010129
010228
Trend Indicator
• Calculated using Summation Index of
Price Oscillator values
• Initial Summation Index value set at 10
times initial price in data series
• Trend Indicator reflects how far price is
away from Sum/10.
11
30
11500
DJIA
11000
25
With SUM/10
10500
20
10000
15
9500
10
9000
5
8500
0
8000
-5
7500
-10
TREND INDICATOR
7000
-15
WITH ITS 5.8% TREND
-20
6500
010129
010329
010530
010730
011003
011203
020204
020405
50
3.5
3.4
40
NASDAQ COMP
30
3.3
20
3.2
10
3.1
0
3
-10
5.8%T
2.9
-20
TREND INDICATOR
2.8
-30
010129
010329
010530
010730
011003
011203
020204
020405
12
122
20
DOLLAR INDEX
18
118
16
14
114
12
10
110
8
6
106
4
2
102
0
-2
5.8% TREND
98
TREND INDICATOR
94
-4
-6
-8
000828 001026 001227 010228 010430 010628 010828 011101 020103 020306 020506
Indicator Summary
• Price indicators are not “better” than
breadth indicators. Each has a story to
tell.
• During trending markets, follow the trend.
• During sideways markets, buy oversold
and sell overbought.
• Key difficulty is figuring out which is which.
13
Sentiment Indicators
• Watch the smart money
• Sometimes what should be smart money
is not so smart
• Two types: what they say, & what they do.
1
2
120
1.8
Univ of Michigan Consumer Sentiment Survey
1.6
Offset 29 Months Forward
110
100
1.4
Inflection
point
1.2
90
1
80
0.8
0.6
70
0.4
60
0.2
50
0
-0.2
40
Nasdaq Composite
-0.4
-0.6
30
12-Month Rate of Change
Persian Gulf War
20
-0.8
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
Commitment of Traders (CFTC)
• Reported each Friday, reflecting prior
Tuesday’s positions
• Commercials (big guys, smart money)
• Non-commercials (smaller traders)
• Non-reportables (small-time speculators)
2
Format of COT Report
SP500
Open Int
04/16/2002
509566
1.5
1.4
1.3
1.2
1.1
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1
-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
Non Commercial
Long
Short
32213
Spreading
43651
4246
Commercial
Long
322578
Short
Total
Long
Short
411245
359037
459142
Nonreportable Positions
Long
Short
150529
50424
330
320
CASH GOLD
310
300
290
280
270
260
250
240
230
220
210
200
190
180
COMMITMENT OF TRADERS (COMMERCIALS)
NET SHORT POSITION (SHORTS MINUS LONGS) AS % OF TOTAL OPEN INT
990504
990901
991231
000502
000830
001229
010502
170
010830
011231
020502
3
0.25
115
Near Month T-Bonds
110
0.2
105
0.15
100
0.1
95
90
0.05
85
0
80
COMMITMENT OF TRADERS: "NON-REPORTABLES"
NET LONG OPEN INTEREST (Longs minus Shorts) AS % OF TOTAL OPEN INT
-0.05
000103
000503
000831
010102
010503
010831
75
020104
240000
1600
200000
SP500
1400
160000
1200
120000
80000
1000
40000
800
0
600
-40000
400
COMMITMENT OF TRADERS: COMMERCIALS
-80000
NET LONG OPEN INTEREST (Longs minus Shorts)
200
-120000
970103
970703
980102
980706
990104
990706
000103
000703
010102
010703
020102
4
800
120000
110000
700
Notice what the smart
money was doing in 1994,
ahead of the big bull market.
100000
90000
80000
SP500
600
70000
500
60000
50000
400
40000
300
30000
20000
200
10000
0
100
-10000
-20000
0
910108 910709 920107 920707 930105 930706 940103 940705 950103 950703 960102 960701 961230
1600
200000
1500
150000
1400
SP500
100000
1300
1200
50000
1100
1000
0
900
-50000
800
700
-100000
5-week SMA
600
-150000
000103
000403
000703
001002
010102
010403
500
010703
011002
020102
020404
Going above the 5-week moving average gives
a 1-2 month warning ahead of price bottom
5
Put and Call Options
• Put options are a bet on the market going
down.
• Call options bet on prices going up.
• More call trading is a sign of trader
optimism, which occurs more at market
tops.
• Option “writers” provide different view.
2
1200
SP500
1.9
1150
1.8
1100
1.7
1.6
1050
1.5
1000
1.4
1.3
950
1.2
PUT/CALL VOLUME RATIO
1.1
CBOE - Sum of All Products
1
900
850
0.9
800
0.8
5SMA
0.7
750
0.6
700
0.5
650
0.4
010904
011008
011105
011204
020103
020201
020304
020402
020430
6
750
3
700
SP100 INDEX (OEX)
2.5
650
600
2
550
500
1.5
EXP
OVERBOUGHT: M ore Puts Open
1
EXP
EXP
EXP
010205
400
OEX PUT/CALL
EXP
OPEN INTEREST RATIO
0.5
001205
450
EXP
010404
010604
010801
011004
OVERSOLD: M ore Calls Open
350
300
011203
020201
020403
2.4
4500
4200
2.2
3900
3600
2
3300
3000
1.8
NASDAQ COMP
2700
1.6
2400
2100
1.4
1800
1500
OVERBOUGHT:
M ORE PUTS OPEN 1200
1.2
1
900
600
0.8
300
CBOE MINI-NDX PUT/CALL
0.6
OPEN INTER EST R ATIO
OVERSOLD: M ORE
CALLS OPEN
0
-300
0.4
-600
000801
001030
010131
010502
010801
011105
020206
020508
7
25
600
RUSSELL 2000 INDEX
550
20
500
450
15
400
10
350
CBOE RUSSELL 2000 PUT/CALL
OPEN INTEREST RATIO
5
300
250
0
200
000301
000731
001228
010531
011102
020408
Not all Put/Call data is worthwhile in terms of its insights.
112
1.8
Continuous Near Month T-Bond Futures
110
10% Trend
108
1.5
106
104
102
1.2
100
98
OVERBOUGHT: More Puts Open
0.9
96
94
92
0.6
90
0.3
30-YEAR CBOT T-BOND OPTIONS
PUT/CALL OPEN INTEREST RATIO
001229
010302
010502
010702
88
OVERSOLD: More Calls Open
86
010830
011101
020103
020306
020506
8
112
3
Continuous Near Month 30-Year T-Bond Futures
2.8
110
108
2.6
10% Trend
106
2.4
104
2.2
102
2
100
1.8
98
1.6
T-BOND OPTIONS PUT/CALL VOLUME RATIO
1.4
8-DAY MOVING AVG
96
94
1.2
92
1
90
0.8
88
0.6
86
84
0.4
000928
001128
010130
010330
010531
010731
011001
011130
020201
020404
Rydex Ratios
• Rydex Series Trust reports asset levels on
its mutual funds daily.
• Comparing asset levels in bullish vs.
bearish funds provides sentiment
indication.
• High cash level (money market fund) is a
sign of investor nervousness.
9
6
1500
1400
5
1300
SP500
4
1200
3
1100
1000
2
900
UPPER BAND
200 MA
1
800
LOWER BAND
RYDEX NOVA/URSA RATIO
0
09/27/00
12/27/00
03/29/01
06/28/01
10/03/01
01/03/02
04/05/02
700
07/05/02
2.6
113
2.4
NEAR MONTH T-BONDS
110
2.2
107
2
1.8
104
1.6
101
1.4
98
1.2
95
1
0.8
92
0.6
89
0.4
86
0.2
0
83
-0.2
RYDEX BOND TO JUNO RATIO
80
-0.4
LOG SCALE
77
-0.6
04/05/00
07/05/00
10/02/00
12/29/00
03/30/01
06/28/01
10/02/01
12/31/01
04/02/02
10
2.5
1600
1500
2
1400
1.5
1300
SP500
1
1200
1100
0.5
1000
0
900
TITAN/TEMPEST RATIO
-0.5
Log Scale
800
07/03/00 08/31/00 10/31/00 01/02/01 03/05/01 05/03/01 07/03/01 08/31/01 11/06/01 01/08/02 03/11/02 05/09/02
Titan (bull) and Tempest (bear) are 200% beta funds tracking the SP500
2100
1.5
2000
1900
1.2
NASDAQ 100
1800
1700
1600
0.9
1500
1400
0.6
1300
1200
1100
0.3
1000
900
0
RYDEX VELOCITY / VENTURE RATIO
Log Scale
800
700
600
-0.3
04/27/01 05/29/01 06/27/01 07/27/01 08/27/01 10/02/01 10/31/01 11/30/01 01/02/02 02/01/02 03/05/02 04/04/02
11
80
150
140
75
XAU
130
70
120
65
110
60
100
55
90
50
80
45
70
40
60
35
50
40
30
30
25
RYPMX Assets
In $Millions 20
20
09/29/00 11/29/00 01/31/01 04/02/01 06/01/01 08/01/01 10/05/01 12/05/01 02/06/02 04/09/02
280
525
RUSSELL 2000
500
240
475
200
450
425
160
400
120
375
350
80
325
40
300
RYDEX MEKROS
FUND ASSETS
0
12/29/00
03/02/01
05/02/01
07/02/01
08/30/01
11/05/01
01/07/02
03/08/02
275
05/08/02
12
2
1400
1.9
1350
1.8
1300
1.7
SP500
1.6
1250
1.5
1200
1.4
1150
1.3
1100
1.2
1050
1.1
1000
1
RYDEX MONEY MARKET
TO BULLISH FUNDS RATIO
0.9
0.8
950
900
0.7
850
0.6
800
0.5
750
0.4
700
0.3
650
0.2
0.1
600
12/29/00
24
03/02/01
05/02/01
07/02/01
08/30/01
11/05/01
01/07/02
03/08/02
0.6
Dow Jones Industrial Average
12 Month Rate of Change
0.5
0.4
21
0.3
0.2
18
0.1
0
-0.1
15
-0.2
5.3% as of Feb. 2002
Source: Investment
Company Institute,
www.ici.org
12
-0.3
-0.4
-0.5
-0.6
9
-0.7
-0.8
6
Mutual Fund Cash Position %
All-time low was 3.9% in May 1972
3
-0.9
-1
-1.1
1968 1970 1972 1974 1976 1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002
13
0.7
0.6
Dow Jones Industrial Average
0.5
0.4
0.6
0.3
0.2
0.5
0.1
0
0.4
-0.1
-0.2
0.3
-0.3
-0.4
0.2
-0.5
-0.6
0.1
-0.7
-0.8
0
Money Supplies
-0.1
Money Market Fund Assets (ici.org)
-0.9
M2 Money Stocks
-1
-1.1
1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002
CBOE Volatility Index
• Does not measure actual volatility.
• Instead, measures “implied volatility”
priced into OEX options.
• Low readings indicate complacency, a
sign of a price top.
14
1400
82
Arrival at lower band
precedes price tops
78
74
70
1300
SP500
1200
66
1100
62
58
1000
54
900
50
46
42
CBOE Volatility Index (VIX)
800
38
UPPER BAND
34
50 MA
30
LOWER BAND
26
700
600
500
22
400
18
010130
010330
010531
010731
011004
011204
020205
020408
85
1600
80
1500
75
SP500
70
1400
1300
65
1200
60
1100
55
1000
50
900
CBOE Volatility Index (VIX)
45
800
40
700
35
600
30
25
500
20
400
300
15
980203
980804
990203
990804
000202
000802
010201
010802
020207
Price bottoms can come at varying VIX extremes,
but the 20 level is important for price tops.
15
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Chart Booklet - McClellan Financial Publications

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