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The overnight effect in US large caps is fading away after the publicity it received in the last three years and the issuance of ETFs to take advantage of it. Updated: January 31, 2023. There are numerous articles in this blog ...

In 2022, stocks (S&P 500 total return) fell 18.3% but managed futures (SG CTA Index) gained 19.3%. Managed futures celebrations are understandable after a long period of underperformance. Equity markets have also suffered from wide swings in the past. Read ...

The win rate of a trend-following strategy is related to the probability of uncle point or ruin. A high win rate helps to avoid an uncle point or even ruin. However, during adverse market conditions, the win rate can fall ...

Timing the stock market with the 12-month moving average in 2022 trimmed passive indexing losses by only 28%, while over the long term, there is notable underperformance. Market timers face hard challenges. Read the article with a Trend-Following subscription. 

The predominant market theme in 2022 was “capital destruction”. Stocks plunged, bonds crashed, and commodities and the US dollar gave back a good fraction of their gains in the second half of the year. Relative Performance of 9 Asset ETFs in ...

Market timers often believe index passive investing lacks sophistication. While this is true, the decision to passively track indexes could be the result of risk analysis. Risk in the market manifests itself in many different forms but the two most important ...

Managed futures CTAs have a small risk of ruin that is related to market timing. If the probability of risk of ruin is small but finite, given enough time ruin will occur. Read the article with a Trend-Following subscription. 

What is the probability of another down year in the stock market after a down year? Some answers in financial blogs and media are wrong. Below is how the correct value of this probability is calculated and the assumptions. We will ...

Based on the latest CPI release, what fell is year-over-year inflation or the 12-month rate of change of the Consumer Price Index. But different lookback periods paint different pictures depending on their length. The YoY change of CPI is just one ...

Does trend-following work on stocks, especially on small-cap stocks? Many have misinterpreted answers to this question that have been offered in the past. In this article, we discuss some of the issues with trend-following small caps and present backtest results ...