The Mutual Fund Panic Index

Updated 8/30/2020

Based on data reported by the Federal Reserve Flow of Funds Reports, which have been released on a Quarterly basis since 1952.  I have formulated an Index based on flows involving Mutual Funds which I call the Mutual Fund Panic Index.

Basically what the Mutual Fund Panic Index shows is that when the total value of Equities held by Mutual Funds decreases by 18% (black line) on a Quarterly basis significant Market Bottoms have occurred since the early 1950's as the chart below shows. 

Mutual Fund Panic Index
(1952-Present) 

Meanwhile the table below shows all of the Quarterly Signal dates since 1952 along with the total gain in the S&P 500 6 to 12 months later. 

 

Signal Date	% Above Low	Sell Off Low	Closing Price	6 Months	6 Month	1 Year	1 Year
			End of Month	Later	Return	Later	Return
Jun-20	41.4	2192.00	3100.00	?	?	?	?
Dec-11	17.0	1074.77	1257.30	1362.16	8.3	1426.19	13.4
Mar-09	19.7	666.79	797.87	1057.80	32.6	1169.43	46.6
Dec-02	14.5	768.58	879.82	974.50	10.8	1111.92	26.4
Dec-90	12.1	294.51	330.22	371.16	12.4	417.09	26.3
Mar-88	19.2	216.46	258.07	271.91	5.4	294.87	14.3
Dec-74	12.5	60.96	68.56	95.19	38.8	90.19	31.5
Sep-70	19.3	70.69	84.30	100.31	19.0	98.34	16.7
Sep-62	9.6	51.35	56.27	66.57	18.3	71.70	27.4