Mid-week market update: The S&P 500 is pulling back to test its rising trend line and the VVIX, or the volatility of the VIX Index, spikes above the key 100 level, which indicates rising market anxiety. However, an analysis of market internals reveal a remarkable level of bullish resilience in the face of recent unsettling headlines...
Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The "Ultimate Market Timing Model" is a long-term market timing model based on the research outlined in our post, Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The Trend...
Emerging market shocks follow a familiar pattern in quantitative investing. When the event occurs, quantitative factor responses in stock selection get thrown out the window. As the smoke clears, top-down strategists map out the direction and magnitude of the shock, and technical analysis factors like price momentum and reversals start to work. As the magnitude...
Mid-week market update: The S&P 500 ended the seasonally positive Santa Claus rally window down -0.1% this year. According to Wall Street lore, this foreshadows a weak year for stock prices. But did investors really miss Santa Claus this year? The Dow, the equal-weighted S&P 500, the NYSE Composite were all positive during the...
Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The "Ultimate Market Timing Model" is a long-term market timing model based on the research outlined in our post, Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The Trend...
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