Das Märchen von "Smart Money"?

Wenn ich mir dieses Chart anschaue, haben sich die Commercials, vorausgesetzt die Daten stimmen, im Jahr 2003 am Nasdaq jedenfalls nicht besonders smart verhalten.

Das Publikum (rot) hat den Aufschwung mitgenommen. Die blauen (Commercials) haben gegen Ende des Jahres, als die Party vorüber war, netto long Positionen aufgebaut.

Die Wellenreiter bereiten die COT Daten anders auf. Nach deren Analyse sind die Commercials noch später long gegangen. Die Kleinspekulanten waren die ganze Zeit neutral.

Hier mal ein langfristiges Chart:

Die Commercials hatten am Allzeithoch der Nasdaq im Jahr 2000, relativ viele Longpositionen. War das intelligent?

Wie Walter bereits erwähnte, sind COT-Daten von Commodities (Getreide u.s.w.) wohl aussagefähiger, da hier die Commercials ihren Markt bestens kennen.

Man schaue sich nur den COT-Chart von Kaffee und die Preisbewegung seit gestern an!

@ deriva

Danke für die interessanten Links!

Grüsse CK

Den zweitreichste Mann der Welt, Warren Buffett, könnte man wohl der Kategorie smart money einordnen.

Kann man konkreten Nutzen für die eigenen Geschäfte aus seinen Aussagen oder Transaktionen ziehen?

Wir erinnern uns an seine Warnung im März 2002: "derivative securities are a "mega-catastrophe" and "financial weapons of mass destruction."

Ich zitiere wörtlich aus dem 2002 Annual Report der Berkshire Hathaway Inc.:

"Charlie and I are of one mind in how we feel about derivatives and the trading activities that go with them: we view them as time bombs, both for the parties that deal in them and the economic system."

Mittlerweile handelt er selbst mit diesen Zeitbomben und wettet bei seiner Investmentholding gegen den Dollar.

Im ersten Halbjahr 2004 hat er seinen Bestand in Devisenterminkontrakten auf 19 Mrd Dollar erhöht und damit einen Verlust im zweiten Quartal 2004 in Höhe von von 445 Mio USD mit eingefahren. Der Deal ist nach seinen Aussagen als langfristige Spekulation angelegt.

Sein Kommentar: "Ich habe keinerlei Ahnung wohin sich die Währungen nächste Woche, nächsten Monat oder sogar im nächsten Jahr bewegen. Aber ich denke ich weiß es im Zeitverlauf."

George Soros spekuliert, wie wir wissen, zeitweise auch auf recht smarte weise am Devisenmarkt.

Der hat jüngst seine Ölaktien (BP, Chevron, Texaco und andere) zum mehr als Fünffachen des Einstandspreises verkauft. Offensichtlich rechnet er nicht mehr mit weiter steigenden Ölpreisen. Hoffentlich hat er recht!

Hallo,

im aktuellen TRADERS, Seite 48 bis 53, gibt es einen Artikel "Smart Money - was sagen die Großen den Kleinen?" und dazu einige weiterführende links.

Gerade bekomme ich per Mail exclusive Informationen darüber, was das smart money im Moment am US-Aktienmarkt macht!

Trefferquote dieser smarten Leute 100% in den letzten zehn Jahren. Das will ich Euch auf keinen Fall vorenthalten. :-)

Viel Spaß beim Lesen!

An Infallible Buy Signal

by Jason Goepfert, sentimenTrader

Bottom Line: I normally run for the hills when seeing the type of hyperbole in that headline (as it usually comes right before the "first" failure), but a signal given by a decline in the OEX open interest ratio has had a 100% success rate on the long side over the past 10 years.

I frequently discuss the goings on in OEX options, with the assumption being that these traders are "smart money", or at least good market timers. That assumption is not built on blind faith, but rather years of hard evidence that shows these traders being seemingly well-positioned at most major market turning points. We post several indicators to the site which tracks this group of traders, one of which is the OEX Open Interest Ratio.

The Open Interest Ratio very simply compares the number of open put contracts in that index to the number of open call contracts. If the ratio is high, then these traders have opened (and not closed) a large number of puts relative to calls - this is something we often see near market tops. On the other hand, a low open interest ratio often coincides with market lows.

Due to expirations and other events, the actual ratio can be pretty "jumpy", so I like to view it in other ways, such as using a rate of change. Rate of change just looks at the current reading compared to one a given number of days ago. For example, if the reading today is 1.5, and six months ago it was 1.0, then the six-month rate of change would be 50% (meaning the current reading is 50% higher than the one six months ago). I bring this up because currently this rate of change reading is giving what has historically been an extraordinarily bullish signal.

Six months ago, the open interest ratio was 1.85, a high reading that often comes near market peaks (it just so happened to do so this time around as well). Over the past month, put open interest has risen significantly less than call open interest. In fact, for the first time since 03/17/03, OEX traders have more call contracts outstanding than put contracts. So over the past six months, the open interest ratio has declined by 47%, one of the largest negative six-month rates of change in 10 years. The table below shows how the S&P performed after other similarly large declines.

There were a total of 53 days over the past 10 years that showed such extremely large six-month declines in the OEX Open Interest Ratio. We can see from the table that such events were historically extremely bullish for the market, as the S&P 500 was higher after 30 days every time but once, with an average return of 7.5% (resulting in an average annualized gain of around 63%). This was not just a bull-market phenomenon, either, as over a quarter of the signals occurred during 2000 - 2002.

Something other that is notable is that put open interest actually declined on Friday and Monday. As I noted on May 17th, the last time we saw a similar thing, a multi-day decline in OEX put open interest has had a tendency to have bullish undertones for the market. Contrast that to times when call open interest has declined from one day to the next - we saw that in January, April and June of this year, all of which coincided with market weakness going forward.

While the open interest configuration in OEX options can get much more extreme (e.g. there were nearly two calls open for every put at the panic lows in September 2001 and July 2002), the current value is already more than one standard deviation below the long-term mean value - meaning these traders currently have an unusually large number of open call positions relative to open put positions. Given the record of these traders, and this specific indicator as we saw in the table above, it adds another mark to the bullish side of the ledger."