ETF Prophet

The table below provides the top- and bottom-twenty ETFs sorted by 2011 Historic Volatility.  Also shown are Risk-Reward measures, including Modified Sharpe, Sortino and Omega Ratios [definitions].  It probably comes as no surprise that the least volatile ETFs were focused in the bond complex last year, while the most volatile were represented by Commodity and European [...]

We always appreciate the intelligent commentary connecting the dots at Zero Hedge, but here’s a hilarious twist as I prepare this evening’s ETF Rewind Pro link fest…. [Zero Hedge]

It’s difficult to draw anything actionable out of the Bernanke news conference, but Pimco’s Bill Gross is hinting at QE3.  If Bill Gross is right, then the Fed isn’t seeing the same economic path as Gross right now, especially if the expectation is for August QE3.  This reminds of the “New Divide” theme song from [...]

Dear Subscriber, Well, I'm certainly glad I didn't short that open!  However, in many ways today technically looks a lot like yesterday, except more short-term overbought albeit with the big-move alert off the board.  Why?  Price remains below key resistance and the board shows a similar outlook on higher ranked volatility.  Longer-term, it's certainly good [...]

Dear Subscriber, A third day of gains whipped the short-term trend higher again, but also strengthened the Mean Reversion bias within the intermediate down-trend.  While internals generally looked good, leadership could have been stronger, with Health Care leading the pack.  Perhaps tomorrow we can burn off some overbought bias going into Fed Wednesday, but I'll [...]

The S&P500 opened up right on its 200-day EMA, where it had 70% chances of closing the lap down according to the ETF Rewind Pro “Gap Tab”, as follows: Since then, price action has met that target and then some, breaking its falling five-day moving average at the mid-day on further hints of Greece resolution. [...]

Dear Subscriber, Friday's small bounce back featuring more than its share of directional volatility left us with a moderate bearish signal on the board for Monday, plus an HV 'Big Move' Alert.  Sunday night futures are also down in spite of reported short-term solutions to the Greek situation — we'll see.  Perhaps some upcoming 'legitimate' [...]

Dear Subscriber, It was a wild day with fear palpable at the mid-day on another VIX rise into the mid-twenties this go — potentially not so good for market performance in the days ahead.  While sector performance was mixed and generally led by the safety sectors, it was good to see a "V" shaped comeback [...]

Dear Subscriber, Talk about the mother of whipsaws, but what could we expect from rising ranked Historic Volatility approaching 50 on deteriorating news flow?  In alignment with last night's letter, a cautious stance was the right way to approach the day with Energy, Materials and Financials all dropping more than 2%.  However, with the VIX [...]

Dear Subscriber, Today's Energy & Materials driven gap and run higher (interestingly, presumptively on retail news!) finished just shy of immediate key resistance at SPY $129.50 right at the falling ten-day moving average.  Internals were very strong today, reversing the short-term trend back higher; if we can follow-through I'll again be looking at just over [...]

Dear Subscriber, Today's miniature move to the upside (DOW +1?!) was not without it's drama, as the market made a sharp reversal back off a VIX tag of 20.  After 42 days, we also have a  behavioral change from trending to reversion on the board.  With volatility on the rise, I'm hopeful that this will [...]

Dear Subscriber, Our ranked Historic Volatility hit 40 on Friday… so much for continuation on the Thursday move….  Nevertheless, we have a moderate bullish expectation on the board for Monday's trade, although I fully expect lower lows ahead.  With the 200-day moving average just below and some distance now above to prior SPX 1,300 support, [...]

Dear Subscriber, Today's decent bounce took our 'big move' and official long swing signals off the board, leaving us with a mild bearish bias for tomorrow.  While the falling five-day moving average proved resistance in the final hour, my personal intuition based on a review of each sharp multi-day pullback followed by a higher low/high [...]

Dear Subscriber, Day six of the relatively fearless (VIX sub 20) retreat continued the slow Materials-led drip downward without any desired sign of a quick fear-based reversal (I thought we were close near the end of day).  This can be a concern in non-normal markets.  In fact, in June of 2010 we had a run [...]

Dear Subscriber, The mixed sector close equated to a small loss on the S&P500.  We still have a bullish swing signal on the board, but it moderated significantly for tomorrow.  Markets came back somewhat after the bell post-Bernanke's presentation.  We are now very oversold, but I continue to see the as yet rising 200-day EMA [...]

Dear Subscriber, In alignment with our daily weekend outlook, equities recorded their fourth day of declines as led by the Energy complex.  Last night's suggested support held on its first test, but broke on its second.  I'd put next support all the way down at the 200-day EMA (say $126.50)(so consider that risk as compared [...]

Dear Subscriber, Friday's significant jobs miss precipitated a further 1% Tech led pullback from recent highs.  While I'd expect markets are nearly setup for a bounce between here and SPY $129.50, our outlook for tomorrow is slightly negative going into the new week.  That said, as oversold as we are, I'll be watching intraday internals [...]

US Equities registered their fifth consecutive week of declines, apparently the longest downhill run since 2004, leaving the S&P 500 (SPY) another -1.9% in the red. Looking closely at short-term oversold/ overbought status using the Price Index (RSI-2 & 5) columns; however, I’ll note the beginnings of market-wide oversold conditions. I’ll therefore be surprised if [...]