James Montier’s was the Global Equity Strategist of Dresdner Kleinwort Wasserstein. (He will retains the same title of global equity strategist at Societe Generale) He developed a "Fear & Greed Index."
He describes F&G as "a risk adjusted price momentum measure
between global equities and global bonds. In the past it has served as
a powerful contrarian indicator at a 12 month time horizon."
What is it showing right now?
Fear & Greed Index
click for larger graph
courtesy of James Montier
As to the history of this indicator:
"I’ve found that when the F&G is above the upper limit the
returns on equities over cash are a meager 2% per annum, but when F&G is
below -2 then the returns over cash are more like 14% per annum over the
next 12 months.
Right now it tells us that neither of these two extremes is
true. I never try to forecast where the F&G is going, but rather
use it as a measure of what my friend John Hussman calls market
James now blogs at behaviouralinvesting.blogspot.com.