Category Archives: ETF Analysis

Correlation Between Stocks and Oil is a Chart Illusion

Two markets that are both in down trends are not necessarily highly correlated. For example, although the stock and oil markets are both in a downtrend, their actual correlation is not that high. Actually, the much talked correlation is a … Continue reading

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Low Volatility Anomaly Rules In Second Half Of This Year

Is low volatility outperformance over the years an anomaly or another academic and investment red herring? No serious trader actually cares about the answer because due to its nature finance cannot be defined rigorously. Share

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Backtesting Conundrum

About a week ago I ran into a backtesting conundrum while analyzing a simple relative strength ETF rotation strategy.  A call to quants to compare results received only one answer but the cooperation led to a solution and to a … Continue reading

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The Overnight Trading Anomaly in SPY and a Few Notes About Backtesting in R

The overnight trading anomaly in SPY is well-known to many traders. In this article, this anomaly is backtested in R and I also make some general comments about backtesting in that language. Share

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Stock Rally Driven by Low Volatility Large Caps and Tech Stocks

The S&P 500 index is up 3.2% YTD on a total return basis and down only 1.25% from all-time highs but small caps, mid caps and high beta large caps are lagging behind considerably in what appear to be a … Continue reading

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A Significant Anomaly in Bonds

Since the inception of TLT, a little less than 50% of the buy and hold gains have occurred on Fridays and that increases to nearly 100% since 2011. This calendar effect is a significant anomaly and shows that markets are … Continue reading

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Market Analysis For Week of Monday, August 31, 2015 [Premium Articles]

This premium report includes technical and quantitative analysis of major U.S. stock indexes, 30 popular ETFs and all Dow-30 stocks. This is premium content. Please login or subscribe to continue reading…

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