Thursday, October 15, 2009

Market Risk

With the recent run up in equity prices, risk in the SigmaStock model is running fairly high. I'm primarily interested in emerging market equity ETFs like RSX (Russia), FXI (China), PNI (India), and EWZ (Brazil). Currently RSX & EWZ are flying very high at 32% & 25% at risk. Historically, this type of extension has resulted in relative highs, so I wouldn't be surprised to see equity markets move down or sideways for a little while from here.

Below is actual risk in several of the markets that I follow and historical risk in EWZ since 2005:

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