Thursday, October 29, 2009

Rydex Market Timers: No Material Change

Figure 1 is a daily chart of the S&P500 with the amount of assets in the Rydex Money Market Fund in the lower panel.

Figure 1. S&P500 v. Rydex Money Market/ daily

Figure 2 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.

Figure 2. Rydex Bullish and Leveraged v. Bearish and Leveraged/ daily


Anonymous said...

Be interesting to see with good GDP where we go from here. Will both ISEE and Rydex be right? Maybe for a bounce, but longer term, hm...

Anonymous said...

My data from Rydex shows the leveraged bull $ total to be around $722M. Yours shows around $773M. My bear side total agrees with yours. For the bull funds, I simply added up all domestic leveraged bull funds. Here is the breakdown:

Dow 2x Strategy 5,578,488
Dow 2x Strategy 4,507,672
Dow 2x Strategy 19,063,247
Mid-Cap 1.5x Strategy 3,865,083
Mid-Cap 1.5x Strategy 3,515,409
Mid-Cap 1.5x Strategy 16,229,148
NASDAQ-100® 2x Strategy 8,766,794
NASDAQ-100® 2x Strategy 18,240,955
NASDAQ-100® 2x Strategy 260,778,282
Russell 2000® 1.5x Strategy 873,504
Russell 2000® 1.5x Strategy 3,853,308
Russell 2000® 1.5x Strategy 18,811,306
Russell 2000® 2x Strategy 2,028,814
Russell 2000® 2x Strategy 3,508,208
Russell 2000® 2x Strategy 47,207,467
S&P 500 2x Strategy 11,886,430
S&P 500 2x Strategy 20,804,689
S&P 500 2x Strategy 272,236,229

Guy, would you please be kind enough to tell me what I missed in my calculation?

Thank you and good work!

Anonymous said...

hi guy, if you draw a vertical maroon line on the 3rd or 4th spike in rydex that appears to mark the BOTTOM rather than the peak. This current spike in rydex appears to be the fourth spike.

Guy M. Lerner said...

I do not include the mid cap 1.5x long because there is no corresponding mid cap short product

Anonymous said...

After I take out Mid-Cap, I only have $698M left on the long side. What funds am I still missing?

Johnny G. said...

Here is what I came up with as of Thursday's close:

Bullish & leveraged: 593.06
Bearish & leveraged: 382.80
Ratio: 1.55

Money market: 1,408.82

Big drop in the bullish assets today as the long Rydex timers locked in their losses. If past patterns hold true, bullish assets will decline further for a day or so as the market rallies.

Then bearish assets will spike as the rally picks up speed. Then the bears will capitulate to the bullish side just as the rally peaks and the next correction gets underway.

Guy M. Lerner said...

Great stuff Johnny G

and good insight too...

I would agree ...if you were a bull and went long 3 days ago, you are happy to get out