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ECRI WLI Index e BFCIUS Index: attenzione alla divergenza
Scritto il 22 Gennaio 2011 alle 10:48 da
Continua la corsa al rialzo dell’ECRI Index, il nostro indice che rappresenta un mix di macroeconomia e di andamento dei mercati finanziari. Ormai il recupero è evidente, grazie al miglioramento delle condizioni macroeconomiche, dovute al sostegno pubblico, e grazie al positivo aumento delle quotazioni di borsa. L’ECRI Index oggi è a quota 4.1.
Interessante però notare che iniziano a vedersi delle divergenze. Tanto per cominciare si inizia a notare una forza dello SP 500 ben superiore all’ECRI Index. Ma ancor di più è forte la divergenza con l’indice Bloomberg US Financial Condition Index,
The Bloomberg Financial Conditions Index combines yield spreads and indices from the Money Markets, Equity Markets, and Bond Markets into a normalized index. The values of this index are z-scores, which represent the number of standard deviations that current financial conditions lie above or below the average of the 1994-June 2008 period.
Questo indice, da tempo presente sul grafico che io post dell’ECRI index, è un “clone” però tarato in modo differente, esclusivamente sull’andamento dei mercati finanziari. Infatti è composto dall’andamento di:
1-Money Market (Ted Spread, Commercial Paper/T-Bill Spread, Libor/OIS Spread)
2-Bond Market (vari spread sui titoli obbligazionari )
3-Equity market (VIX e SP 500)
Diventa quindi curioso ed interessante il fatto che, malgrado l’euforia e la positività registrata in ogni ambito sui mercati finanziari, il BFCIUS Index (ovvero il Bloomberg US Financial Condition Index,) stia divergendo. Solo statistica, certo, ma significa che il mercato inizia a sentire in modo al momento non percettibile un’euforia che risulta eccessiva.
Grafico ECRI Index, BFCIUS Index e altro
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5 commenti Commenta
Scritto il 22 Gennaio 2011 at 11:22
DT ma serve come riassunto dei post?
In quel caso forse e’ piu’ conveniente usare l’archivio sul blog (dov’e’ quello tuo?)
Pe esempio usando il mio risulta cosi:
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Lukas
Scritto il 22 Gennaio 2011 at 12:07
Caro Dream, anche questa settimana, posto la sommatoria delle net position sui futures e sulle options, pubblicate ieri dalla CFTC e relativa a tutti gli indici azionari Usa:
Commercial Traders : – 50.729
Large Traders : + 14.291
Small Traders : + 36.438
Ancora nulla di nuovo rispetto alla configurazione degli ultimi 4 mesi, con i large e gli small net long, ed i commercial sempre net short.
Questa settimana segnalo però un decremento di 12394 contratti delle net position long dei Large Traders, e di 7253 delle net position long degli Small……..a fronte di una riduzine delle net position short dei commercial di 19647 contratti.
La consistente riduzione settimanale delle net position short dei commercial……, come già successo e constatato negli ultimi 6 mesi, non prelude, a mio avviso, neanche per la prossima settimana….. ad una inversione del trend rialzista in corso………quindi……..continuo a seguire una delle regole principi del trading, ossia quella di “non andare mai contro il mercato “…….e di seguire il trend finchè dura………. A mio avviso, per uscire dal mercato c’è ancora….. e ci sarà sempre tempo !!!
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