Citi's Chart of the Month is an update to the firm's proprietary "Panic/Euphoria" model.
Simply put, when investors are panicking, then it's probably a good time to buy. If investors are euphoric, then it's probably time to sell.
"The Panic/Euphoria Model has spiked to near its highs over the past three years, suggesting frothy levels have ensued," writes Citi's
Levkovich notes that the futures market and hedge fund performance does not reflect "aggressive bullishness." However, the massive flow of money into equity mutual funds and various surveys suggest otherwise.
Here's a historical look at Citi's model: