Category: Quantitative Evidence-Based Rearch
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Stock Market Trend: reverse back down or continuation?
I normally don’t comment here on my daily observations of very short-term directional trends, though as a fund manager I’m monitoring them every day. The current bull market in stocks is aged, it’s lasted much longer… Read More
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VIX® gained 140%: Investors were too complacent
Several months ago I started sharing some of my observations about the VIX ( CBOE Volatility Index). The VIX had gotten to a level I considered low, which implied to me that investors were too… Read More
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Fear is Driving Stocks Down, or is Declining Stocks Driving Fear?
The last time I pointed out a short-term measure of extreme investor sentiment was August 4, see “Extreme Fear is Now the Return Driver“. At that time, popular stock indexes had declined -3% or more… Read More
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Trend Change in Dollar, International Stocks, Gold?
Directional trends tend to persist. When a price is trending, it’s more likely to continue than to reverse. A directional trend is a drift up or down. For example, we can simply define a uptrend… Read More
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Science: systematic study of the structure and behavior…
Investment management, executed properly, may be more scientific than you think. Read More
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Stock Market Peak? A Tale of Two Markets
One of the early warning signs that a bull market in stocks is nearing its end is increasing selectivity. As more investors begin to believe a peak may be near based on statistical analysis or… Read More
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Fun with Weather Graphs: A Quant View of Knoxville Relative to Tampa
I recently compared the climate differences between two places I call home: Knoxville, Tennessee and Tampa, Florida. They have very different climates, Knoxville is in the Tennessee mountains, the Tampa Bay/Clearwater/St. Pete area is home… Read More
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2013 Asset Allocation Returns
2013 was a big year for U.S. stocks and a losing year for other markets like bonds and emerging market countries. Though many people like to talk about how much the Dow Jones Industrial Average… Read More
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Investors are Complacent
Implied volatility, the amount of “insurance premium” implied by the price of options, continues to suggest that investors are becoming very complacent. When the VIX is high or rising, it says the market expects the… Read More