美股標普、那指再創新高 分析師：未必是好事 要小心這6大跡象

美股標普、那指再創新高 分析師：未必是好事 要小心這6大跡象

隨著美國公債殖利率和油價攀升，美股 3 大指數昨 (25) 日延續漲勢，標普及那指連 5 日上漲，再創歷史新高。有經濟學家認為這對美國經濟復甦將是好事。然而，花旗集團編製的報告預測指出，未來 6 個月內，標普 500 指數可能出現 10%～15% 的回跌。

據《路透社》報導，儘管近期美股持續創高，但仍有幾個不詳的領先指標。首先，花旗集團編製的全球經濟意外指數本週轉為負值，為 2020 年 6 月以來首見，表明經濟數據開始不如預期。其中，歐洲 8 月的製造業景氣創下今年元月以來最差，美國和中國也有類似緩增的型態。

再者，花旗分析師指出，恐慌/狂熱模型已經表明「投資者過度樂觀」，這樣的訊號已持續數月，「回調可能迫在眉睫，尤其是在獲利成長放緩的情況下。」但今年回檔情況卻尚未出現。因此該報告據此預測未來 6 個月內，標普500 指數可能出現 10%～15% 的回跌。

其次，據路孚特（Refinitiv）資料顯示，在今年 1 月，納指有 1,876 檔成分股上漲，1,039 檔下跌。但 8 月，納指創高下僅 1,457 檔成分股上漲，1,936 檔下跌。這表明，隨著納指不斷創高，會漲的成分股越來越少，下跌的成分股已超過一半，漲升的結構已趨向漲勢的末端。

第四點，通貨再膨脹（reflation）是今年上半年交易的主軸，投資人賣出黃金等安全資產，同時買進旅遊、銀行、工業、新興市場、價值股等經濟循環股。但金價在 5 月下挫 12% 之後，最近兩週已反彈 7%，而景氣循環股近期卻上檔壓力沉重。

第五點，代表衍生性市場的標普500指數的賣權買權比例（put-call ratio）已逼近今年最低，這意味著選擇權市場的空頭消失，將來空頭回補的力道將越來越微弱。

第六點，AAII 美股投資人調查（AAII Sentiment Survey）顯示，散戶投資人在今年始終保持樂觀情緒，但最近已轉為悲觀，為 2020 年 10 月以來首見。這顯示一般投資人已認為股市偏貴，傾向逢高賣出。

據《MoneyDJ》報導，明 (27) 日，眾所矚目的傑克森霍爾 (Jackson Hole) 央行年會將登場，旨為發表有關經濟展望的演說。投資人緊盯聯準會 (Fed) 是否會談到減碼量化寬鬆 (QE) 的時間表，因為 QE 的退場，牽動著股匯債市。但有分析師認為，鑑於新冠疫情不斷升溫，Fed 或許會推遲到秋季晚些時候宣布。

隨著美國公債殖利率和油價攀升，美股3大指數週三 (25 日) 延續漲勢，標普及那指連五日上漲，再創歷史新高 有經濟學家認為這對美國經濟復甦將是好事 然而，花旗集團編製的報告預測指出，未來6個月內，標普500指數可能出現10%～15%的回跌

美股創高 但有五不祥預兆

【記者張東光／綜合報導】美國這波Delta變種病毒疫情近期似乎出現高峰已過的跡象，儘管一天新增的確診案例達15萬人，但住院的人數卻週週下滑，而最早爆發疫情的南方州疫情已逐漸降溫，民眾外出的意願增加，經濟學家認為這對美國經濟復甦將是好事。

在疫情可能觸頂的激勵下，週二（8月25日）美股三大指數小漲，道瓊指數漲0.11%或39點，標普500指數和那斯達克指數漲0.22%和0.15%續創歷史新高。儘管近期美股持續創高，但路透社卻彙整出幾個不祥的領先指標。

首先，花旗集團編製的全球經濟意外指數本週轉為負值，為2020年6月以來首見，表明經濟數據開始不如預期。其中，歐洲8月的製造業景氣創下今年元月以來最差，美國和中國也有類似緩增的型態。

花旗報告稱，通常美國供應管理協會（ISM）的採購經理人指數若創高，美股將會回檔，但今年此一情況卻未出現。該報告據此預測未來6個月內，標普500指數可能回跌10%~15%。

其次，據路孚特（Refinitiv）資料顯示，在今年1月，那指有1,876檔成分股上漲，1,039檔下跌。但8月，那指創高下僅1,457檔成分股上漲，1,936檔下跌。這表明，隨著那指不斷創高，會漲的成分股越來越少，下跌的成分股已超過一半，漲升的結構已趨向漲勢的末端。

第三點，通貨再膨脹（reflation）是今年上半年交易的主軸，投資人賣出黃金等安全資產，同時買進旅遊、銀行、工業、新興市場、價值股等經濟循環股。但金價在5月下挫12%之後，最近兩週已反彈7%，而景氣循環股近期卻上檔壓力沉重。

第四點，代表衍生性市場的標普500指數的賣權買權比例（put-call ratio）已逼近今年最低，這意味著選擇權市場的空頭消失，將來空頭回補的力道將越來越微弱。

此外，AAII美股投資人調查（AAII Sentiment Survey）顯示，散戶投資人在今年始終保持樂觀情緒，但最近已轉為悲觀，為2020年10月以來首見。這顯示一般投資人已認為股市偏貴，傾向逢高賣出。◇

Taking the Pulse of Investor Sentiment Right Now

Last week, I looked at the Investors Intelligence sentiment survey, which I often reference, and the AAII sentiment survey. This week, I’m sharing some numbers on a couple of other sentiment surveys we look and are referenced in Monday Morning Outlook once in a while. They are sentiment surveys put out by the National Association of Investment Managers (NAAIM) and by TD Ameritrade. I spend a little time on each survey’s methodology. It is important to know who is being surveyed and how, as it determines the meaning and potential implications of the survey. Then I show some numbers to see if there’s a potential signal that can be generated from the results.

NAAIM Exposure Index

The NAAIM is an organization that consists of investment advisors registered with the SEC who are engaged in active investment management for retail clients. The weekly survey asks them for a number between -200 (leverage short) to +200 (leveraged long) where +100 means fully invested and 0% means their portfolios are in cash or hedged to market neutral. What’s relevant is that the survey is based off where their money is invested rather than how they feel about the market. Surveys based on opinions are volatile and change quickly with market direction. Changing the exposure in a portfolio is an action that’s more meaningful. This is assuming their answers truthfully represent their portfolios which I have no reason to doubt but since it’s a survey there’s a chance the results don’t align with reality.

We have data from the NAAIM Exposure Index going back to mid-2006. The recent reading is hard to see in the chart but it’s just below 80. This means, on average, the investment managers are heavily exposed to stocks but nothing atypical. In fact, looking back 52 weeks, I found where the reading was relative to its highest and lowest reading and it’s below the 50% level meaning it’s closer to its lowest reading than highest. To me, investment managers are not nearly as optimistic as what I would expect.

Based on above, I looked at previous instances when the NAAIM reading, relative to its 52-week high and low was less than 50% while the S&P 500 Index (SPX) was at its highest reading over the past 52 weeks. The table below summarizes how the S&P 500 performed after the eight other occurrences. The returns, especially in the shorter term, are abysmal. Three months after these occurrences, the index averaged a loss of more than 3% and was positive just three times. The six and 12 month returns underperform typical returns since the first signal which was in 2013.

For those curious, here is a table of those individual signals. There was a signal as recent as a couple months ago. The last signal before that occurred just before the Covid crash in February of 2020.

TD Ameritrade IMX Index

TD Ameritrade puts out their Investor Movement Index (IMX) on a monthly basis. The IMX is based off actual brokerage accounts by retail traders. This seems like a very good measure of sentiment amongst the retail crowd as it tracks stocks that they’re buying and selling rather than a survey on how they’re feeling. Unlike investment managers, these retail traders are showing extreme optimism. The IMX reading clocked in above 9 for the first time ever in the most recent report. Note that the most recent report we have is from the end of June. The S&P 500 is up another 3% since then so it wouldn’t be surprising for another increase in the IMX.

Since we’re at a never-before-seen level in the index and there’s just monthly data points, any signal would show just a handful of data points at most. Therefore, I’ll just give my subjective reading of the chart and interpretation.

As a contrarian, it’s always concerning when retail investors get extremely bullish. Some optimism is expected when stocks continue to hit all-time highs, however, so perhaps we can take comfort in that. To assuage our fears, we would like to see any small pullback in stocks result in an outsized move lower in the IMX reading. This would indicate some jitters amongst the retail traders. Unfortunately, the graph now looks a little like the end of 2017 in which the IMX spiked to all-time highs along with the S&P 500. The next year, 2018, saw the index fall by 6%. Another bearish interpretation would be to contrast this survey with the NAAIM Index we talked about above. The investment managers could be viewed as more experienced investors, or as the smart money. It’s a bad sign when the smart money index is nowhere near an extreme, but the dumb money retail index is going parabolic.