Category Archives: ETF Analysis

Switching From Stocks to Bonds Based on a 200-day Moving Average Crossover

I offer analysis in this blog motivated by a reply to a tweet I made yesterday regarding the essence of the 200-day moving average. I show that the choice of a 200-day moving average for the purpose of stock-bond allocation is sub-optimal. … Continue reading

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IWM and IBB Top Holdings Point to Bubble Market

Based on the top 20 holdings of IBB, seven stocks have negative EPS and eight stocks have P/E ratio greater than 30. In the case of IWM and based on the top 20 holdings, five stocks have negative EPS and … Continue reading

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Fooled by backtested ETF Rotation Strategies

Strategies based on ETF rotation schemes are nowadays popular in the blogosphere. Most of these strategies suffer from hindsight and do not account for market impact. Therefore, they are not statistically significant, i.e., they amount to random results. Share

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There is No Overnight Edge in SPY

In January of 2011 there was an article in Bespoke about an overnight edge in SPY. I responded with two articles that showed that the edge was purely hypothetical. Since then, it is not even an issue of a hypothetical … Continue reading

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Lying Gurus and Clueless Self-Proclaimed Authorities

Some financial gurus deliberately lie to achieve their end objectives. This is part of the game because they are rewarded based on performance and not based on what they said in the financial media. The situation with self-proclaimed authorities is … Continue reading

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Fooled by Monte Carlo Analysis

Simple Monte Carlo analysis tools are often used to assess the risks of trading systems and to determine appropriate capitalization levels. However, simple trade reshuffling algorithms can produce misleading results in many cases and fool their users. Share

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Whether Bonds and Stocks are Correlated Depends on the Timeframe

In the short-term stocks and bonds have again turned anti-correlated after a period of positive correlation, in the medium-term they show no correlation and in the longer-term they are anti-correlated.  Correlation depends on timeframe. Share

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