A 2020 Equity Sentiment Report Using Positioning and Market Indicators

Summary

This weekly report assesses Chinese equity-market sentiment after a sharp March decline and a subsequent rebound. Its composite sentiment score rose from 38 to 51, while the authors judged that near-term further weakness had become less likely, despite unresolved overseas pandemic risks. The report combines several types of evidence rather than relying on a single price measure.

Inputs include estimated public-fund exposure, index-futures premiums or discounts, ETF-option implied volatility, industrial shareholder sales, northbound flows, margin financing, investor profit and the share of stocks above moving averages. The report notes that fund exposure and foreign inflows rebounded, while price-volume measures showed little change in market breadth or profitability. These readings describe a specific historical week in 2020 and are not a validated forecasting rule; the document provides no methodology for constructing the composite score or performance evidence for acting on its short-term view.

Key ideas

• The report combines positioning, derivatives, capital flows, breadth, and price-volume measures into a market sentiment assessment.
• Its composite sentiment reading increased from 38 to 51 during a global equity rebound.
• Estimated public-fund exposure and northbound inflows recovered, while price-volume measures changed little.
• The assessment concerns a particular week in 2020 and does not provide a reproducible scoring method or forecast validation.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.