Time Frame: Long-Term | Update Schedule: Weekly | Source: SentimenTrader, Citi
Construction:
This model is based on the Citi Panic / Euphoria model that is published in Barron's magazine. It does not reflect those published values, rather it is our interpretation of the model inputs and construction, and differs modestly from the published figures.
The inputs are the same, however its performance as a contrary indicator is improved over the published values. It is composed of the following primary inputs: NYSE short interest, margin debt, Nasdaq vs NYSE volume, Investor's Intelligence survey, AAII survey, retail money market funds, put/call ratios, commodities prices, and retail gasoline prices.
The higher the model, the more investors are in a euphoric mood, with lower expected stock returns going forward. Low values, particularly below zero, suggest that investors have panicked and higher forward returns are expected.
