Mid-week market update: The option market was pricing in a daily equity market swing of 1.6% ahead of today's events, namely the May CPI report and the FOMC decision. Even though the S&P 500 gained strongly today, the move could be said to be disappointing in volatility terms. The bullish tone was set this...
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...
Is good economic news good news for equities or bad news? We know how to interpret macro news for the bond market. The Citi Economic Surprise Index (ESI), which measures whether top-down economic releases are beating or missing expectations, has been a bit weak. Historically, a weak ESI has meant lower bond yields. ...
Mid-week market update: The S&P 500 has risen to a new all-time high, and this move was well-telegraphed. I wrote on the weekend and characterized conditions "half-hearted buy signals that indicate low downside risk". The S&P 500 subsequently staged an upside breakout from a bull flag to a fresh all-time high. 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 Asset...
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