Category: Quantitative Evidence-Based Rearch
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Is this the Inflection Point for Stocks?
As if the election result wasn’t enough, the U.S. stock market has surprised most people by trending up since last November. But, it has been stalling since March. The S&P 500 drifted down about -3% into… Read More
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Systems trading is ultimately discretionary. The manager still has to decide how much risk to accept, which markets to play, and how aggressively to increase and decrease the trading base as a function of equity change. These decisions are quite important – often more important than trade timing.”
–Ed Seykota in Market Wizards: Interviews with Top Traders By Jack D. Schwager Read More
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Stock Market Decline is Broad
We typically expect to see small company stocks decline first and decline the most. The theory is that smaller companies, especially micro companies, are more risky so their value may disappear faster. Below, we view the… Read More
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Low Volatility Downside was the Same
In Low Volatility and Managed Volatility Smart Beta is Really Just a Shift in Sector Allocation I ended with: “Though the widening range of prices up and down gets our attention, it isn’t really volatility that investors want… Read More
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Why Index ETFs Over Individual Stocks?
A fellow portfolio manager I know was telling me about a sharp price drop in one of his positions that was enough to wipe out the 40% gain he had in the stock. Of course, he had… Read More
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What You Need to Know About Long Term Bond Trends
There is a lot of talk about interest rates and bonds these days – for good reason. You see, interest rates have been in a downtrend for decades (as you’ll see later). When interest rates… Read More
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Asymmetric Returns of World Markets YTD
As of today, global stock, bond, commodity markets are generating asymmetric returns year to date. The graph below illustrates the asymmetry is negative for those who need these markets to go “up”. source: http://finviz.com Read More
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Asymmetric Nature of Losses and Loss Aversion
Loss Aversion: “In prospect theory, loss aversion refers to the tendency for people to strongly prefer avoiding losses than acquiring gains. Some studies suggest that losses are as much as twice as psychologically powerful as… Read More
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Asymmetric Sector Exposure in Stock Indexes
When you look at the table below and see the sector exposure percents, what do you observe? Do these allocations make sense? That is the sector exposure of the S&P 500 stock index: I used… Read More
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US Government Bonds Rise on Fed Rate Outlook?
I saw the following headline this morning: US Government Bonds Rise on Fed Rate Outlook Wall Street Journal – “U.S. government bonds strengthened on Monday after posing the biggest price rally in more than three months… Read More