AMSI a new S&P 500 Market Sentiment Indicator

May 24th, 2015, 04:04 PM

AMSI (Acertus Market Sentiment Indicator) is a almost new (released on December 2013) Stock Market Sentiment Indicator (S&P 500).
It was modeled by Acertus Capital Management to generate monthly sentiment indications ranging from 0 to 100.

It is formed by five factors (in descending order of importance):
■ S&P 500 Price/Earnings (P/E) Ratio
■ S&P 500 Price Momentum
■ S&P 500 Realized Volatility
■ High Yield Bond Returns
■ Treasury Eurodollar (TED) Spread

The weights of the individual AMSI factors are proprietary and dynamic, adjusting each time the index is updated. To facilitate the interpretation of the AMSI, the indicator is converted to a percentile value, ranging from 0 (extreme fear) to 100 (extreme greed).

AMSI spans the period from January, 1986 to the present, i.e., the longest common period over which data for all
component elements is available.

The indicator views sentiment as a continuum with anxiety and complacency representing less extreme and nuanced forms of fear and greed, respectively. Generally, a lower reading (< 20) reflects a market sentiment of fear, while readings of 20-40 represent anxiety. Conversely, a higher reading (>80) suggests significant greed, while readings of 60-80 represent complacency.

Tracking AMSI on a regular basis may provide a more robust measure of market sentiment than the VIX.

WIKIPEDIA: Acertus [AUTOLINK]Market Sentiment[/AUTOLINK] Indicator - Wikipedia, the free encyclopedia
AMSI White Paper: https://acertuscap.com/wp-content/uploads/2013/12/ACERTUS-Market-Sentiment-Indicator-v2.pdf
May 2015 relese: Market Sentiment Continues to Oscillate as AMSI Swings Back to Complacency Territory | Acertus Capital Management, LLC
https://acertuscap.com/wp-content/uploads/2015/05/AMSI-May-2015-Release.pdf

P.s. Do not know if this is useful

AMSI a new S&P 500 Market Sentiment Indicator

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AMSI a new S&P 500 Market Sentiment Indicator