Proprietary Toolkit

ASR Sentiment Indicators

Recent years have underlined the value of analysing sentiment trends across assets. On this front, we have developed two proprietary sets of indicators that quantify sentiment across a wide range of assets.

ASR ‘poll-of-polls’ indicators are based on combining several sentiment surveys into a single indicator, that provide a broad view of investor sentiment on a number of markets. However, a number of markets are currently not covered by sentiment surveys.

ASR Sentiment Barometer Indicators (SBIs) were developed to fill this gap. The SBIs use price action to create sentiment series that have a strong relationship with the output derived from actual sentiment surveys. They combine several algorithms which quantify behavioural elements such as ‘price anchoring’ and trend ‘overconfidence’, as well as shorter-term momentum and have an 80% correlation with our ‘poll-of-polls’ indicators. A methodology report can be found here.

Making Use of SBIs Sentiment Barometer Indicators flag up when a market is at risk from over-extended optimism or pessimism. They are a timing tool, to be used alongside other strategies, highlighting when it may be worth considering a contrarian trade or adding portfolio protection.

Our ASR SBIs now cover over 1000 markets, encompassing global equity indices, global bonds, fixed income, FX and commodities. A couple of examples of SBIs in action are as follows:

A 20Yr View on US10Yr (ASR Sentiment 'Poll of Polls' & SBI)

European Cyclicals/Defensives (ASR Sentiment SBI)

For information (including pricing) on how to subscribe to this unique dataset please contact your sales contact or email sales@absolute-strategy.com