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Daily Report : A banner year for returns versus volatility

Jason Goepfert
2024-11-04
Over the past year, the S&P 500's return has been more than 50 times the standard deviation of its daily changes. This is one of the best returns ever relative to the volatility investors suffered. It's similar for the Nasdaq 100. While such years can lead to complacency, contrarian selling was not often rewarded.
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Headlines

A banner year for returns versus volatility: Over the past year, the S&P 500's return has been more than 50 times the standard deviation of its daily changes. This is one of the best returns ever relative to the volatility investors suffered. It's similar for the Nasdaq 100. While such years can lead to complacency, contrarian selling was not often rewarded.

Smart / Dumb Money Confidence

Smart Money Confidence: 40% Dumb Money Confidence: 55%

Risk Levels

Stocks Short-Term

Stocks Medium-Term

Bonds

Crude Oil

Gold

Agriculture

Research

A banner year for returns versus volatility

By Jason Goepfert

BOTTOM LINE
Over the past year, the S&P 500's return has been more than 50 times the standard deviation of its daily changes. This is one of the best returns ever relative to the volatility investors suffered. It's similar for the Nasdaq 100. While such years can lead to complacency, contrarian selling was not often rewarded.

FORECAST / TIMEFRAME
None

Sentiment Risk On / Risk Off Overview

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Indicators at Extremes

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% Showing Pessimism: 18%
Bullish for Stocks
Inverse ETF Volume
Insider Buy/Sell Seasonally Adj
Rydex Sector Breadth
OEX Open Interest Ratio
VIX
VIX Term Structure
OEX Put/Call Ratio
Mutual Fund Flow (no ETFs)
CSFB Fear Barometer
% Showing Optimism: 26%
Bearish for Stocks
Equity Hedging Index
Rydex Bearish Flow
Rydex Ratio
Rydex Money Market %
S&P 500 Down Pressure
SKEW Index
Options Speculation Index
AAII Allocation - Stocks
NAAIM Exposure Index
Major Index Combo
AIM (Advisor and Investor Model)
Retail Money Market Ratio
NYSE Available Cash
Equity / Money Market Asset Ratio
Mutual Fund Cash Level

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Sentiment Around The World

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Sector ETF's - 10-Day Moving Average
Country ETF's - 10-Day Moving Average
Bond ETF's - 10-Day Moving Average
Currency ETF's - 5-Day Moving Average
Commodity ETF's - 5-Day Moving Average
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Risk Disclosure: The information and tools provided are for research and analytical purposes only and are not intended as investment advice. Market analysis involves uncertainty, and outcomes may differ from expectations. Users should conduct their own due diligence and consider their individual circumstances before making any financial decisions. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

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