I've been working a little this weekend on the Commitment of Futures data. Beginning in Jan of 1998, here's what I've done for each of the COMMERCIALS (COMM), LARGE SPECULATORS (LARGE), and SMALL SPECULATORS (SMALL):
* I've combined the SP+ES contracts (ES=.20xSP)
* I've combined the ND+NQ contracts (NQ=.20xND)
* I've combined the following contracts to get an overview:
... SP, ND, DJ (Dow), MD (MidCaps), and RL (Russell)
... including open interest.
This way, I get an idea of what each of the 3 groups is doing regardless of which market they are doing it to. What I have done is weight all contracts as a percentage of the big S&P contract (SP). This way, I combine the 5 markets and get a single line showing the long/short position against the market as a whole for COMM, LARGE, and SMALL, expressed as a number of virtual S&P contracts.
I have just seen the chart for the first time (it's preliminary at this stage). I have a couple of observations though:
Assuming it's not primarily hedging action, the LARGE types are very poor judges of market direction. They were net short through 1998 and 1999 and went net long in the Spring of 2000 (yikes!). These guys are getting net short lately (long ND though) -- this should make a bear nervous. -ng
As expected, the SMALL types are naturally bullish. They were net long through 1998 and 1999 (obviously they did well), but just keep getting longer as the market declines. Since the late Spring of 2000, they just keep getting longer. (One interesting thing lately is that unlike most new significant lows, on this last one they did not make a new record high in their long position -- they are having doubts.)
The COMM group is clearly the smartest, as you would expect. They were mostly long through 1998 and 1999 and unwound their longs very fast at the end of 1999. As you know, since then they have been net short. Their record net short position was set the first week of March/2001 and they are now much less short than that.
I'm sure I'll have more to share when I get around to working on this some more. |
