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Stock Market Autocorrelation Mess

Negative autocorrelation is not necessary for a major top but when it becomes significant and keeps increasing it may be a warning sign. This is the case this month.

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What Is Idiosyncratic Alpha?

A reference to idiosyncratic trading strategies was made in a market commentary by Neal Berger, the President of Eagle’s View Asset Management. In this article we attempt to clarify what these idiosyncratic strategies are.

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Two Facts About Hedge Funds Everyone Should Know

Managing a hedge fund, or even a managed accounts operation, nowadays is far from trivial given the market timing challenges and regulatory requirements. But there are also some other facts that are not so widely understood.

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In A Nutshell: Why Trading is Hard

Why trading is hard and why mean-reversion has outperformed the golden cross signal in SPY in the last year and a half.

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Performance Of the PSI5 Mean-Reversion Strategy Since The Financial Crisis Bottom

The PSI5 mean-reversion strategy has outperformed the buy and hold performance of SPY total return since the bottom of the financial crisis on a risk-adjusted basis.

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Volatility Bulls: The New Permabears

Each time there is profit taking in the stock market, the permabears of the early phase of the uptrend show up as volatility bulls. This is hilarious.

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