Sentiment Indicators

…evidence indicates that hedge fund investors may be able to gain an edge by limiting consideration to funds with recent corporate releases but no other recent media coverage.

…evidence from limited tests suggests that online search activity may help predict which recent winning and losing stocks will continue winning and losing.

…evidence suggests that public sociopolitical satisfaction and stock market valuation move substantially in step, with no way to exploit the broad sentiment measure in stock market trading.

…evidence from simple tests indicate that, while results are mixed, the Hulbert Stock Newsletter Sentiment Index may have some power to predict future stock market returns.

…evidence indicates that a high level of investor sentiment during a bull market may be a useful predictor of low future returns for speculative stocks. Sentiment has little or no power to predict returns during bear markets or for non-speculative stocks.

…analysis of Ticker Sense Blogger Sentiment Poll results indicates that aggregate blogger sentiment is perhaps, like many sentiment indicators, somewhat contrarian with respect to future stock market behavior.

…investors may want to consider how their cultural predispositions affect their processing of reported views of experts on financial markets.

…evidence from a simple test on a small sample supports belief that the aggregate equity mutual fund liquidity ratio has some power to predict future stock market returns.

…the stocks of companies unadmired by the ostensibly well-informed may well outperform the stocks of the companies admired.

…evidence from a limited sample period indicates that information in Commitments of Traders reports regarding aggregate positions (hedging pressure) of commercial and non-commercial futures traders may support successful timing of commodities and equities markets.

…evidence from simple tests indicates that Rydex asset ratios may have slight but inconsistent contrarian predictive power for the underlying market, so slight and inconsistent that exploitation is problematic.

…evidence suggests that: (1) VIX may contain an extractable component of irrationally felt risk negatively related to stock returns; and, (2) rational investors may not have fully exploited this relationship.

…evidence from simple tests on a limited dataset do not support a belief that net money flow is usefully predictive of weekly or monthly stock market returns.

Research showing that equity investors in aggregate materially underperform the market via timing of purchases and sales (aggregated money flow) is extensive. See…

…simple tests indicate that margin debt tends to lag the stock market by one or two months. Evidence does not support a belief that changes in margin debt reliably predict future stock market behavior.