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Author: Alexander Gloy

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  • Asset momentum table 2011-06-17

    Alexander Gloy

    Each week we test major asset classes for the strength of their momentum. We check: is current price above 20-day moving average? is current price above 50-day moving average? is 20-day moving average above the 50-day moving average? does the 20-day moving average have a positive slope (i.e. is it rising)? does the 50-day moving…

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  • Look at me – I am a junk-rated bank!

    Alexander Gloy

    Everybody hates rating agencies. They missed Enron (balance sheet fraud), the sub-prime crisis (using models provided by banks) and sovereign debt crisis (concealed by foreign currency swaps). They have been wrong – so what? Stock market analysts are wrong all the time, and investors still read their worthless reports. And what would you expect from…

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  • S&P 500 at the 200-day moving average

    Alexander Gloy

    Interesting technical constellation for the S&P 500 index. Today’s intra-day low (1,258.07) almost touched the 200-day moving average (1,257.90). The exponential 200-day moving average (1,262.85) was breached (but not on a closing basis). Tomorrow, Friday June 17th, is a big option expiration day, so anything is possible. However, the 200-day moving average will not fall…

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  • Sector momentum table 2011-06-10

    Alexander Gloy

    Each week we test major asset classes for the strength of their momentum. We check: is current price above 20-day moving average? is current price above 50-day moving average? is 20-day moving average above the 50-day moving average? does the 20-day moving average have a positive slope (i.e. is it rising)? does the 50-day moving…

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  • Asset momentum table 2011-06-10

    Alexander Gloy

    Each week we test major asset classes for the strength of their momentum. We check: is current price above 20-day moving average? is current price above 50-day moving average? is 20-day moving average above the 50-day moving average? does the 20-day moving average have a positive slope (i.e. is it rising)? does the 50-day moving…

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  • Fun with inverse ETFs

    Alexander Gloy

    I love Exchange Traded Funds (ETF). In theory. In practice they are being abused by issuers and traders alike (see Beware of systemic risk in ETF). But that’s another topic. Today let’s take a look what can happen with inverse ETF through the compounding effect. I like inverse ETF (i.e. SH) on the stock market,…

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  • Technical indicators: NAAD, NAHL, NAHLr

    Alexander Gloy

    After almost a year of gathering data we are fine-tuning the Lighthouse Investment Management Timing Indicator (LIMTI). We want to overweight constituents delivering good entry and exit signals. One such indicator is the Advance-Decline-Line (number of rising stocks minus number of falling stocks, cumulative over a time period). We prefer the Nasdaq (as NYSE has…

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  • Merkel to Sinn: “In my office. NOW.”

    Alexander Gloy

    Hans-Werner Sinn, head of German research institute Ifo, has just put his life into peril. He had to pick a Swiss magazine (“Bilanz”) to express what nobody else is allowed to mention in Germany: “Greece is a bottomless barrel”. Hans-Werner Sinn, Ifo Institute Picture: Handelsblatt For those who remember, Sinn was the only one among…

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  • Sector momentum table 2011-06-03

    Alexander Gloy

    At the suggestion of one of our clients we looked at the momentum of S&P 500 sub-sectors. This might give a better picture of the overall stock market health. For example, the May 31st high hid the fact that cyclical stocks were already in decline since February on a relative basis: Now, look at Healthcare…

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  • Asset Momentum Table 2011-06-03

    Alexander Gloy

    Each week we test major asset classes for the strength of their momentum. We check: is current price above 20-day moving average? is current price above 50-day moving average? is 20-day moving average above the 50-day moving average? does the 20-day moving average have a positive slope (i.e. is it rising)? does the 50-day moving…

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