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