Safe-haven demand

Whether investors prefer shares or the safety of government bonds. Compares the last 20 days' return of the S&P 500 (SPY) with long-term US Treasuries (TLT).

Formula

Reading = 20-day return of shares − 20-day return of Treasuries · Score = percentile of today's reading among the last 252 trading days

Worked example

1. Today's reading: −0.8% stocks minus bonds (20 days)
2. Compare it with every daily reading over the past year (252 trading days).
3. Today's reading is higher than 40% of the past year's readings.

Result: 40 / 100 · fear

How to read it

Shares beating bonds = appetite for risk (greed). Bonds beating shares = flight to safety (fear).

Daily ETF closing prices from Twelve Data

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