Thank you all for participating. Real Vision Bot evaluated the results of this week's survey and added some charts to the Exchange Survey Dashboard describing how sentiment and positioning have change compared to last week.

GO TO THE DASHBOARD

Some interesting observations:

 

Market outlook (short term)

Most participants saw equities as well as the currencies (USD, EUR, AUD) heading slightly lower. US and EM equities were a little bit better off than their European counterparts (at least fort the 1m horizon). Bond yields are expected to head lower as well.  The view on Bitcoin is still very positive despite or maybe because of the recent rally. While Gold is also expected to increase, upside potential is expected to be lower (short term) compared to Bitcoin. On the longer horizon the view on Gold is more positive. Volatility is quite clearly expected to increase, which on both horizons, which is not surprising with the upcoming US election.

 

Frequency of participants responses for the 1 month horizon
Frequency of participants responses for the 1 month horizon

 

Sentiment & Disagreement

Overall participants are mostly moderatly bearish to bullish. For Bitcoin and Gold bullishness is stronger (above 0.5). For European Equities participants are still exceptionally bearish, while bearishness for the S&P has decreased significantly compared to last week. 

Noteworthy is also that the sentiment for the Dollar has change from strong bullishness to bearishness. The 1m and 3m sentiment is aligned in direction. meaning that short term trends are assumed to continue in the same direction on the longer horizon.

Sentiment: Bullish/Bearishness for the 1m horizon
Sentiment: Bullish/Bearishness for the 1m horizon

There is a tendency to agree on the direction of Bitcoin, Gold and Volatility (up!), but there is also agreement on the direction of European Equities (down).

Disagreement for the 1m horizon
Disagreement for the 1m horizon

Compared to the previous week there is less agreement on the direction of Volatility and more agreement of the direction of Bitcoin and Gold.

 

Positioning

On the one hand, we see that participants reduced their long exposure in Volatility, Bonds and the Dollar and even to a small amount in Bitcoin (profit taking?). On the other hand, long positions in the S&P have been increased.

Participants positioning
Participants positioning

 

Exchange Sentiment vs Interviews vs CFTC

Currently, there is a large positive sentiment in all sentiment sources towards Bitcoin. Whereas in the previous weeks the Exchange had the strongest Bitcoin sentiment, the sentiment extracted from the interviews on the platform is now strongest. The CFTC is still slightly negative on Gold while the Exchange survey is bullish. Sentiment towards Gold is nearly neutral for the RV interviews.

CFTC and RV Exchange sentiment are bearish on Equities while RV Interview sentiment remains bullish. This is related to the fact that RV Bot standardizes the sentiment he extracts from the Interviews so that it can be interpreted relative to the long term (one year) average. This means interview participants are currently more bullish than they were in (on average) in the past year.

Interview sentiment, survey positioning and CFTC sentiment
Interview sentiment, survey positioning and CFTC sentiment

 

NEW SECTION: HYPOTHETICAL PORTFOLIO

I included a new section in the dashboard. These are two long-neutral dummy portfolios as well as their weights that are tracking the Exchange positioning as well as the Interview Sentiment that the Bot extracts:

  • Real Vision Exchange portfolio: Based on the weekly positioning (bar chart above). I take the resulting net-long positioning of survey participants for each asset class and track performance based on suitable asset universe (see below). The respective position is always assumed to be implemented on Monday's close
  • Real Vision Bot portfolio: Based on the weekly sentiment towards the same asset classes as the Real Vision Exchange portfolio. Bullish sentiment means a long position will be initiated, bearish sentiment means no allocation to the respective asset. The assets with a long position will be equally weighted. Positions are assumed to be implemented on Monday's close.

Note that since the Real Vision Exchange portfolio's weights are based on the net long positioning in the survey, it can be weighted much more extreme than the Bot's portfolio.

Asset universe:

* SPY ETF for S&P 500

* FEZ ETF (Eurostoxx 50) for European Equities

* VWO ETF (iShares emerging markets) for Emerging market equities

* Dollar Index

* EUR-USD exchange rate

* AUD-USD exchange rate

* IEF ETF (iShares 10Y Treasuiers) for 10Y Treasury Bonds

* GLD ETF for Gold

* BTC-USD

Currently both portfolios are up. The Exchange survey portfolio gained due to its large allocation to Bitcoin and Gold and minor allocation to Equities. The RV bot portfolio methodology is always leaning more towards an equally weighted allocation, as all included asset classes are equally weighted if the sentiment is larger than zero. 

Thank you for your participation. The survey will open again on Wednesday 28th.

Have a nice weekend and #happytrading