Modeling with the NAAIM Exposure Index
The piece outlines a systematic trading model that relies solely on the NAAIM Exposure Index, a weekly sentiment survey of active investment managers. The model goes long 150% of the S&P 500 when any of three index‑based conditions are met, executing trades at Thursday’s close. Back‑tested results show the strategy outperforms the S&P 500 while staying invested only 19% of the time and limiting drawdowns to under 25% on daily data. The author stresses the model is illustrative, not a standalone product, but demonstrates the index’s value as a model input.
A Strong Start to May Has Often Been Followed by a Short-Term Dip
May often begins with a rally in the S&P 500, but historical data shows that the optimism is short‑lived. Since 1987, the index has risen on the first trading day of May 25 times, and in 17 of those instances (about...