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11 December 2012

EXCLUSIVE
Ralph Acampora Interview
DOW Target at 20,000

Ralph Acampora of Geneva-based hedge fund Altaira Wealth Management discusses his current forecast for global equities. He explains how bullish technical indicators, including A/D lines and relative strength sector analysis, produce a target for the Dow of around 20,000 over the next few years. In this interview he talks to Matthew Clements, editor of The Technical Analyst.

View the online interview >

Ralph Acampora spent many years as chief technical analyst at Prudential Securities and is the co-founder of the Market Technicians Association (MTA) in New York. Altaira has recently won Austria’s Gelt magazine award for best performance in Global Tactical Solution for 2012.

Santa Claus Rally Revisited

The Santa Claus rally, also known as the December Effect, states that stocks have a tendency to rally in the last few trading days of December and the first few trading days of January. This is due to turn-of-year effects such as the completion of trades by year-end for tax reasons.

Jeffrey Hirsch of the Stock Trader’s Almanac has written that taking the last 5 trading days of December and the first 2 days of January, the effect has occurred 77% of the time since 1969, producing an average return of 1.6% (see Chart 1 below).

Crucially, Hirsch warns that when the Santa Claus rally has failed to yield a positive return, it usually signals a downtrend or an underperforming market for the year ahead. This happened in 1999, 2004 and 2007.

Click on thumbnail below for Chart 1: S&P500 and Santa Claus Rally

Using Short Interest Sentiment for Stock Selection

In their latest reaserch, J.P.Morgan Cazenove’s Global Quant Strategy team show how short selling data can enhance stock selection and generate trading signals.

Can the information contained in short interest data on short-sellers be used to effectively generate enhanced stock returns? By looking at 20 years of short interest data across the largest 3000 US stocks, JP Morgan has established a market sentiment ‘indicator’ that can generate actual trading signals. This they do by analysing the relationship between market-wide short interest levels, volumes, volatility and correlations. They say that short interest data and sentiment can be exploited for stock selection via their proprietary ‘Short Interest Trend’ signal by improving the analysis of stock valuations both from a long/short and long-only point of view.

Please contact Marco Dion to request a full copy of the paper, “Short Interest Signal Ideas”, (November 2012): [email protected]

T: +44 (0)1483 573150 E: [email protected]

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