![]() Assuming normal variable distributions, the sample is large enough to test predictive power with reasonable reliability for short-term stock returns (a few trading days or weeks), but is not large enough to test HSNSI reliably as a long-term stock market indicator. The high for the sample is 67.8% (on 11/20/06), and the low is -36.1% (end of September 2008). The average value of HSNSI for the sample is 24.4%, with standard deviation 26.1% (high volatility). Using a sample of 287 values of HSNSI over the period July 2002 through September 2013 (generated by searching for “HSNSI” and its predecessor “HSSI”) and contemporaneous daily closes of the S&P 500 Index, we find that: HSNSI “reflects the average recommended stock market exposure among a subset of short-term market timers tracked by the Hulbert Financial Digest.” Mark Hulbert presents HSNSI as a contrarian signal for future stock returns when HSNSI is high (low), he views the outlook for stocks as materially bearish (bullish). ![]() Because Mark Hulbert uses his Hulbert Stock Newsletter Sentiment Index (HSNSI) as a principal quantitative tool in formulating his market outlook, we evaluate the usefulness of that index in predicting stock market returns rather than his qualitative commentary. ![]() He is also a regular columnist at MarketWatch. A reader suggested a review of the stock market commentary of Mark Hulbert, editor of the Hulbert Financial Digest, which tracks the recommendations of a wide range of investing newsletters.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |