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  • The Optimal Allocation to Managed Futures April 9, 2024

    What is the optimal allocation to managed futures? The short answer is that any allocation can be optimal or not, because the future is unknown. Please do not read this article if you believe you can easily determine an optimal ...

  • “Your Strategy Does Not Have The Alpha You Think It Has” April 6, 2024

    The expected alpha of a trading or investing strategy can decrease significantly due to tail events, or even become negative. If there are risks of large losses, there is a high probability that the realized alpha will be much lower ...

  • The Myth of Turnaround Tuesday Anomaly March 26, 2024

    The “turnaround Tuesday” anomaly disappears if we take into account the overnight effect and random short squeezes in bear markets. The “turnaround Tuesday” (TAT) anomaly refers to stocks bouncing back on Tuesday after a down Monday. This effect appears to be ...

  • A Simple Trading Strategy With Remarkable Performance March 21, 2024

    This is a strategy for trading the Dow 30 stocks and SPY ETF, with no parameters to optimize and no bear market filters. Updated: March 20, 2024 Since SPY ETF inception, the simple strategy has outperformed the annualized return by a ...

  • Cocoa In The Tails March 16, 2024

    Cocoa surged 25.4% this week, and it is up 106% year-to-date. Since 2023, cocoa is up 261%. Price action in cocoa has been in the tails of distribution for the better part of this year due to harvest problems and ...

  • Contribution of Commodities To Trend Following Performance March 13, 2024

    We look at the contribution of commodities to the performance of a simple trend-following strategy based on price breakouts. In the last five years, commodities have significantly contributed to trend-following performance. Trend-following makes more sense with commodities. Trend-following is a simple ...

  • What is a Market Bubble? March 5, 2024

    It is hard to define market bubbles. All attempts to identify bubbles are highly subjective. What is a market bubble? The common definition is that a bubble is a rapid rise in asset prices. But that is part of the story. ...

  • Macroeconomic Analysis or Simple Technical Indicators? March 2, 2024

    Does it make any sense for individual investors and traders to use macroeconomic analysis instead of simple technical indicators? The last two years have raised doubts about the effectiveness of macroeconomic analysis, while simple technical indicators have performed reasonably well. Macroeconomic ...

  • Permabears Vs. Permabulls February 27, 2024

    Being a permabear is as irrational as being a permabull. Both are bias-driven emotional states of mind. The financial mainstream media created the bull versus bear narrative to “divide and conquer” the investment landscape. I summarized the main point of my ...

  • From Construction to Large Language Models February 22, 2024

    Construction, mainly residential, was the main driver of the recovery from the pandemic. The new driver is large language models and the promise of a transition to artificial general intelligence and accelerated growth. How much of this is a narrative during ...