Hussman: ohusignaalid aktsiaturul

John Hussman fondivalitsemisega tegelevast ettevõttest Hussman Funds kirjutab, et aktsiaturge iseloomustab taas ülehinnatus, üleostetus, ülipositiivne meelestatus ja lisaks tõusvate intressimääradega keskkond.

Hussman’i analüüsi kohaselt on ülalkirjeldatud signaali ilmnedes ajalooliselt järgnenud märkimisväärne langus aktsiaturgudel. Sõjajärgsel perioodil on Hussman identifitseerinud 6 ülaltoodud tingimustele vastavat turusituatsiooni, millest neljal juhul järgnes neli ajaloo suurimat aktsiaturu langust, ühel juhul toimus kiire 12% langus ning üks oli valesignaal. Alltoodud graafikul on kujutatud sinise joonega aktsiaindeksi S&P 500 hinnaliikumine ja punaste vertikaaljoontega Hussman’i mudeli signaalid.

Allikas: Hussman Funds

Tehnilistest detailidest huvitatuile – Hussman on oma signaali komponeerimisel  kasutanud järgmisi näitajaid:

- Ülehinnatuse (overvalued) defineerib Hussman Shiller’i  P/E suhtarvu abil (näitaja kõrgem kui 18, hetkel 24).

- Üleostetus (overbought) on kirjeldatud tehnilise analüüsi näitajate abil – aktsiaindeks S&P 500 oma ülemise Bollingeri laineala läheduses mõõdetuna nii päevase, nädalase kui ka kuise sagedusega ning indeks vähemalt 20% kõrgemal viimase 52 nädala madalaimast tasemest.

- Ülipositiivse turumeelestatuse (overbullish) defineerib Hussman Investor Intelligence turusentimendi indikaatorite abiga – positiivne meelestatus vähemalt 45% ja negatiivne vähem kui 25%. Viimase seisuga on Investor Intelligence’i hinnangul positiivselt meelestatud 54,3% küsitletud turuosalistest ja negatiivselt kõigest 18,5%.

- Tõusvate intressimääradega keskkond on defineeritud läbi tingimuse, kas 10-aastase USA valitsuse võlakirja ja Dow 30 Corporate Bond Average võlakirjaindeksi tulusus tähtajani on kõrgem kui 6 kuu eest?

Oluline on siinkohal ka tähele panna, et kogu ülaltoodud analüüs baseerub ja kehtib ainult USA aktsiaturu kohta. Lisaks rõhutab Hussman, et kuigi USA aktsiaturu väljavaade aastases perspektiivis on kehv, ei pruugi aktsiate tootlus järgmise paari kuu perspektiivis olla üldse halb.

Detailsem analüüs on kättesaadav Hussman Funds kodulehel.

Extreme Conditions and Typical Outcomes

John P. Hussman, Ph.D.

The foregoing set of conditions isn’t observed often, but the historical instances satisfying these criteria in post-war data are instructive. Here an exhaustive list of them:

August 1972, November-December 1972: The S&P 500 quickly retreated about 5% from its August peak, then advanced again into to its bull market peak near year-end (about 6% above the August peak). The Dow then toppled -12.3% over the next 50 trading days, and collapsed to half its value over the following 22 months.

August 1987: The market advanced about 6% from its initial signal into late August. The S&P 500 then lost a third of its value within 8 weeks.

June 1997: The only mixed outcome, during the strongest segment of the late 1990′s tech bubble. The S&P 500 advanced another 10% over the following 8 weeks, surrendered 4%, followed with a strong advance for several months, surrendered it during the 1998 Asian crisis, and then reasserted the bubble advance. Over a 5-year period, the overvaluation ultimately took its toll, as the the S&P 500 would eventually trade 10% below its June 1997 level by the end of the 2000-2002 bear market. Still, the emergence of the internet, booming capital spending, strong economic growth and job creation, rapidly falling inflation, and dot-com enthusiasm evidently combined to overwhelm the negative short- and intermediate-term implications of this signal.

July 1999: The S&P 500 advanced by 3% over the next two weeks, then declined by about 12% through mid-October, and after a recovery to the March 2000 bull market high, the S&P 500 fell far below its July 1999 level by 2002.

March 2000: The peak of the bubble – the S&P 500 lost 11% over the following three weeks, recovered much of that initial loss by September, and then lost half its value by October 2002.

May/June 2007, July 2007: The S&P 500 gained 1% from the late-May/early-June signal to the July signal, then lost about 10% through August 2007, recovered to a marginal new high of 1565.15 by October (about 1% beyond the August peak), and then lost well over half of its value into the March 2009 low.

February 2011, April 2011: A cluster of signals in the 2-week period between February 8-22 immediately followed by a decline of about 7% over the next 3 weeks. As of Friday, the market has recovered to a marginal new high about 1.5% above the February peak.

Examining this set of instances, it’s clear that overvalued, overbought, overbullish, rising-yields syndromes as extreme as we observe today are even more important for their extended implications than they are for market prospects over say, 3-6 months. Though there is a tendency toward abrupt market plunges, the initial market losses in 1972 and 2007 were recovered over a period of several months before second signal emerged, followed by a major market decline. Despite the variability in short-term outcomes, and even the tendency for the market to advance by several percent after the syndrome emerges, the overall implications are clearly negative on the basis of average return/risk outcomes.

We know that weak prospects for the market over a horizon of years does not necessarily translate into weak market prospects over a horizon of months. The ensemble methods we introduced last year have a greater tendency to accept moderate, if periodic, investment exposures – even in quite overvalued markets. But even with our present methods, the odds for the market are now quite bad, and I have no intent of accepting needless risk in historically hostile market conditions in order to prove our willingness to accept greater market exposure more generally.

 

Rubriigid: Uudised, märksõnad: , , . Salvesta püsiviide oma järjehoidjasse.

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