Tag Archives: $SPX $SPY
According to a Bloomberg article, the rare S&P 500 total return 12-month winning streak can be attributed to positive serial correlation. However, monthly returns appear to have negative serial correlation, i.e., they are mean-reverting.
Many of us who were trend-followers in the 1990s find the current notion of equity trend-following sort of peculiar, if not amusing, due to hindsight bias effect.
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.