NYSE New 52-Week Highs

A popular question over the weekend involved the status of new highs on the NYSE.  Despite the S&P 500 (almost) closing at another three-month high, the number of securities that hit a new 52-week high on the NYSE shrunk considerably.

By more than 70%, actually, from their peak on October 13th.

If the market follows through with the positive indication we're seeing in the futures this morning, then we could very easily see this figure spike up again, and surpass what we saw a couple of weeks ago.

But taking the numbers for what they are, let's go back to 1965 and look for any other time that the S&P closed at a new three-month high (we're cheating a tiny bit here), but yet the number of new highs on the NYSE shrunk by more than 70% from their highest level over that same period.

The returns going forward were quite volatile, especially in the short-term.

Over the next one to two weeks, we didn't see a very consistent influence.  The S&P's median return was slightly worse than random, but its average return was significantly worse (due to several large losing trades and few large winning trades).

By a few weeks later, performance slumped consistently, with 11 losers and 6 winners.  After rebounding a bit, by two months later we only had 4 winning trades and 13 losers.

The thing that stands out most to me is that in most of the cases, the intermediate-term returns were muted.  And if we saw a short-term push higher (say over the next 1-2 weeks), then the S&P tended to flatten out or decline in the months following that.  There was really only one instance, in December 2003, then stocks managed to just keep chugging higher without a hiccup.

Rydex Nasdaq 100 Assets

I don't want to harp on this data set, because it hasn't made one lick of difference so far.

But a couple of days ago we saw that Rydex mutual fund traders set an 8-year record high in the amount of assets they poured into the long Nasdaq 100 fund relative to the inverse Nasdaq 100 fund (which profits if the market falls).  That was the highest Bull Ratio we'd seen since 2001.

They hadn't, however, expressed the same level of bullishness in the leveraged funds, which goose the gains (and losses) by a factor of 2.  That changed on Friday.

When we first looked at this ratio a couple of weeks ago, the leveraged Bull Ratio was down around 2.5 or so.  As of Friday, these traders had almost four times as much money invested in the leveraged long fund than the leveraged short fund.

We can plainly see the only other times in recent history (in fact, dating back to 2001) when the ratio got this high - early January and mid-April.

Now we're seeing 8-year extremes in both the leveraged and non-leveraged Bull Ratios, which is more similar to the January and April peaks than we'd seen prior to Friday.  Like I said above, an extreme in the non-leveraged ratio hasn't mattered a whit so far, but...