Wednesday, December 16, 2009
Figure 1 is a daily chart of the S&P500 with the amount of assets in the Rydex bullish and leveraged funds versus the amount of assets in the leveraged and bearish funds. This data is hidden, but the ratio of bull to bear, which is depicted by the indicator in the lower panel, is 2 to 1. Since July, 2009, every time this ratio got above 2, it marked a short term top in the S&P500. These are noted by the maroon colored vertical bars.
Figure 1. S&P500/ Rydex Leveraged Bull v. Leveraged Bear/ daily
Figure 2 is a daily chart of the S&P500 with the amount of assets in the Rydex Money Market Fund in the lower panel. The current value is the lowest value since the rally began in March, 2009. While all of this is short term noise, it is absolutely amazing that there would be this much commitment to the market after a 60% plus run in the S&P500.
Figure 2. S&P500 v. Rydex Money Market/ daily