Category Archives: Market Statistics

Stocks-Bonds Correlation Spikes

The 60-day stock-bonds correlation spiked this month from about -0.50 to +0.20. A similar spike occurred mid 2007 and just a few months before the stock market top.

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Nasdaq-100 Recovery And The Wrong People Are Celebrating

The stocks of Intel and Cisco Systems are still 27% and 54% below their all-time high, respectively, on a dividend adjusted basis. The sluggish recovery in the tech sector for about 14 years after the bubble burst of 2000 is … Continue reading

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Daily Returns Are Relevant Only To Short-Term Traders

Since inception, the SPY ETF has dropped more than 2.3% on a daily basis for a combined period longer than half a year. Yet, it has gained 648% on a total return basis. Negative daily returns are relevant only to … Continue reading

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Only Speculators Would Have Held Amazon Stock Since IPO

There is noise in the social media about a +45,000% return in Amazon stock since IPO. That number is an illusion. Only speculators would have held a stock with the drawdown profile shown below. I suspect more investors lost money … Continue reading

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Protracted Low Volatility Is Not An Unusual Phenomenon

Some traders complain in social media that volatility has stayed low for a long time or for longer than expected. According to those traders, this is an unusual phenomenon. Some are even upset blaming central banks for the low volatility … Continue reading

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Stock Market Autocorrelation Turns Negative

After almost a year, the 1-lag, 252-day autocorrelation of daily S&P 500 simple returns has turned negative.

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The Best Stock Market Indicator Is Financial Media Competition For Clicks

The frequency of articles in the financial media and blogosphere with calls for a stock market collapse is often a good indicator of a bullish market. This year¬†there were numerous such articles about the Soros put, Marc Faber and Brexit. … Continue reading

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It’s The Market Conditions, Stupid

There is plenty of analysis in the financial blogosphere that purports the idea that August and September are unprofitable months and investors should sell at the end of July. This is the result of sloppy analysis and selection bias.

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