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  • Stock Market Volatility Is Crashing July 29, 2022

    After a sharp rise from mid-April to mid-May of this year, stock market volatility is crashing. This has been historical a good sign for equities, except when it was not. The daily chart below shows the 21-day annualized volatility of the ...

  • Bear Markets and Losing Discipline July 23, 2022

    Losing discipline and not following basic rules is more prevalent during a bear market and a slow “pain trade”. Using strategies to enforce discipline is not sufficient to escape the adverse effects of a slow “pain trade” and high volatility mixed ...

  • Weekly Signals For Long/Short Factors July 19, 2022

    We will be introducing a new strategy in the next Weekly Market Signals report for long/short factors. The strategy will be integrated with the ensemble of current strategies starting next year. Our weekly Market Signal report is currently based on the ...

  • Comparing The Last Three Bear Markets July 14, 2022

    As compared to the previous two bear markets, the current correction is not more orderly, but is faster and marked by higher volatility. There have been references to the current correction as “more orderly”. Words mapped to markets make sense only ...

  • Long-Short Mean-Reversion Strategy For SPY, QQQ and TLT July 8, 2022

    The long-short mean-reversion strategy for trading a portfolio consisting of SPY, QQQ, and TLT ETFs is based on price breakouts.

  • The Humbling Process of Inflation July 8, 2022

    Inflation is the (adverse) result of the interaction of a large number of variables in a highly non-linear economic system. It’s also a humbling process for those who rush to make forecasts about inflation levels. In my M4 presentation in New ...

  • Capital Destruction, Unrealized Gains, and Hindsight July 2, 2022

    When inflation and rates rise, equities and bonds fall. If commodities are also volatile, there is capital destruction because there is no safe asset. Unrealized gains and losses become transitory. The right strategies are known only in hindsight. Descriptive statistics reflect ...

  • 2022 And 2008 Market Action Comparisons June 27, 2022

    Several charts have surfaced that claim 2008 and 2022 market price actions are similar. The charts allude to a continuing market decline. Visual chart comparisons can be misleading. In this article, we calculate the relationship in the data and point to ...

  • Is the Energy Rally Over? June 21, 2022

    Last week, crude oil futures fell $11, the popular XLE ETF plunged 17%, and many energy stocks crashed. Is this the end of the energy rally? First, let us look at some data from last week. We start with a drop ...

  • Risk Happens Fast With Extreme Events June 14, 2022

    Risk accumulates slowly but also happens fast. The S&P 500 dropped nearly 10% in the last four trading days. This is a 5-sigma event based on an available sample of daily returns since 1942. The S&P 500 fell into a bear ...