Tag Archives: $SPX $SPY

Serial Correlation Of S&P 500 Total Returns

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.

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The Limiting Case Of Equity Trend-following is Passive Investing

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.

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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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