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In the last two and a half years, the equal-weight S&P 500 index performance has mirrored that of the Russell 2000 index. Due to excessive concentration, the S&P 500 index has become the new small-cap index. The chart below shows how ...

Permabears never disappear; they are always active, even when momentum is strong and the market is at all-time highs. But the behavior of permabulls is interesting, to say the least. I am convinced that being a permabear is not so much ...

Marketing frequently serves as the driving force behind efforts to promote one trading style over another. Mean reversion and trend following are complementary trading styles, and choosing one over the other is a false dichotomy. Trend-following gets rid of losing trades ...

We offer nine end-of-day trading strategies for all seasons: mean-reversion, trend-following, seasonality, and volatility. A free bonus strategy is included. The list of strategies can be found here. Below are backtests of the nine strategies. The last date for the backtests ...

The macroeconomic analysis of capital markets has limited effectiveness, except for commodity trends, where there is reasonably good potential. Investors could be better off following simple technical indicators when the objective is to minimize pain during bear markets. Macroeconomic analysis is ...

Since the current version of artificial intelligence is based on training on content published over the years, it is only natural that the misconceptions in finance will compound. The fact that marketing professionals have produced the majority of content is one ...

On our blog, we have a new page with daily futures trend-following signal updates. Access to this page is currently free. We use continuous, back-adjusted data for 23 futures contracts. The trend-following strategy is based on our proprietary PSI5 algorithm in ...

In hindsight, as the data reveal, the management of ARKK ETF did not use volatility targeting but instead was satisfied with a remarkable outperformance in 2022.  Due to recency bias, investors always focus on recent underperformance and forget past outperformance. I ...

Since 2002, this ETF seasonality strategy has had no losing years in backtests. We also include backtests from 1990 that use the same underlying index that the ETF tracks. The article was updated on April 23, 2024, with a long-short version ...

There is an obsession with uncorrelated returns in finance literature, but they make sense only if they improve total returns. More importantly, correlations in markets are random variables. Usually, uncorrelated returns improve risk-adjusted performance, but wealth growth depends on total ...