Tag Archives: SPY

Returns of Dow-30 And S&P 500 Diverge 10% Of The Time

Yesterday, the Dow Jones Industrial Average gained 0.17% but the S&P 500 fell by about the same amount. Divergences in the returns of these two indexes occur about 10% of the time in daily, weekly and monthly timeframes and they … Continue reading

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Risk-On But Mean-Reverting Forces Are Still Strong

High beta large caps are holding onto their gains after a recovery from significant losses earlier this year, while low volatility large caps show a mean-reverting tendency. The ensemble exhibits a fragile stability. The next more of speculators may be … Continue reading

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The 60/40 Passive Allocation is Holding Strong In A Rough Market

Despite calls for its death in mainstream financial media earlier this year, the 60/40 portfolio in stocks and bonds is holding strong. A decrease by about 350 basis points from peak year-to-date return is due to the rise in correlation … Continue reading

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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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Profiting From Random Strategies

The bulk of trading strategies are random because they are either overfitted to noise or are the result of selection bias. However, there are ways of even profiting from random strategies. In this article I outline the general idea and … Continue reading

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Mean-Reversion Algo Update

The IBS algo bought the dip at the open of last Monday and exited at the open of Tuesday with 1.15% gain. The other three algos are in a long position.

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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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