- Backtesting with Back Adjusted Futures Having Negative Prices and An Interesting Anomaly [Premium Insights] April 23, 2021
A brief discussion about backtesting with backward adjusted futures having negative prices and an example of a historically highly profitable price action anomaly in a commodity market. Access to article requires Premium Insights subscription.
- CRB Index and Inflation [Premium Content] April 21, 2021
Is there a link between CRB index and inflation? Below is the answer using chart and basic statistical analyses. Access to article requires premium content subscription.
- Extreme Market Pattern and Probability Underestimation [Premium Insights] April 14, 2021
Some patterns in stock market may look extreme but this is only due to underestimating the probability of them occurring. An example is included from a current pattern in SPY ETF. Access to article requires Premium Insights subscription.
- Do Ratios with GDP in Denominator Make Any Sense? [Premium Content] April 8, 2021
Charts with various ratios having GDP in the denominator can be frequently found in financial publications, blogs, or even social media posts. Do these ratios make any senses? Access to article requires premium content subscription.
- An Alleged Correlation Under Scrutiny [Premium Insights] April 6, 2021
Charts allegedly depicting high correlation of stock market with ISM Manufacturing PMI were included in social media posts in last few days. We put these claims under scrutiny in this article. Access to article requires Premium Insights subscription.
- Adding Time Series Momentum Timing and Leverage to 60/40 Portfolio [Premium Insights] April 1, 2021
Results of 60/40 stock-bond portfolio after adding time series momentum and leverage. Access to article requires Premium Insights subscription.
- Tracking Error Of Few Popular ETFs [Premium Insights] March 30, 2021
We calculate tracking error of five popular ETFs and compare related statistics to net expense ratio. Access to article requires Premium Insights subscription.
- Factor Realities and a Rotational Strategy [Premium Insights] March 26, 2021
Factors are considered drivers of return across asset classes and a foundation of investing. In this article we discuss some of the problems in using factors and include results for a simple rotational strategy based on ETFs. Access to article ...
- Strategy for Trading Gold Based On 10-Year Note Yields [Premium Insights] March 23, 2021
We analyze a price series momentum strategy in the monthly timeframe for trading gold based on 10-Year Note yield changes. The results reveal flaws in popular analysis found in financial blogosphere and why claims based on it without backing from ...
- Stock-Bond Correlation Impact on Strategic Allocation Returns [Premium Insights] March 17, 2021
How useful is stock-bond correlation in strategic allocations? We look at the data and reach a few conclusions. Access to article requires Premium Insights subscription.