Category Archives: Market Statistics

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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Dow Jones Industrial Average Longer-Tern Returns In Mean-Reversion Mode

The Dow Jones Industrial Average is gaining nearly 13% year-to-date on a total return basis with longer-term returns showing a mean-reverting tendency. According to this analysis and assuming mean-reversion persists, this index could rise anywhere up to 35% in the … Continue reading

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Buy The Dip On The Decline

Buy the dips has been a profitable simple strategy this year but its effectiveness is now on the decline after topping in February of this year. Often a top in this strategy is followed by a short-term correction due to … Continue reading

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What Ever Happened to Left Tail Events in S&P 500?

The term “tail event” appears frequently in financial literature but in the last 14 years there have only been two such events in S&P 500 during an uptrend with¬†daily returns of -6.6% and -4.4% both during the 2011 correction, while … Continue reading

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VIX Below 10 Rant

Values of VIX below 10 occurred before the 1990s uptrend and then near the top of the 2000s uptrend. The sample is so small and the evidence totally inconclusive. Do not look for help from VIX in forecasting future direction … Continue reading

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The Scariest Chart Of All

Despite eight years of relentless support to equity markets by a group of central banks, in the last two and a half years there is an alarming trend, as this chart shows.

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