## Equity Returns Following Extreme VIX and WVF Movements, Part 1

Can extreme changes in implied volatility help predict future returns? And can we use a VIX surrogate as a substitute? First, let’s take a look at the WVF and its relationship to the VIX. The Williams’ VIX Fix (WVF) is…

## S&P 500 Returns Following New Lows (and Highs)

Today the S&P 500 closed at a 20-day low. Is there anything useful we can do with this piece of information? Let’s take a look at the performance of SPY after it closes at a 20-day low: Not particularly…

## The Predictive Value of the Number and Magnitude of Recent Up/Down Days: UDIDSRI

Rummaging through my bottomless “TO DO” list, I found this little comment: # of up/dn days in period, then re-scale that using percentrank….with net % move? An interesting way to spend Sunday afternoon, and another blog post! After playing around…

## Tuesday’s QQQ Move and Equity Index Mean Reversion Worldwide

Tuesday saw QQQ drop somewhat heavily, and for the third day in a row. These three drops took us back to mid-August levels, blowing through a ton of support levels… My mean reversion senses are tingling! So, let’s take a look…

## Portfolio Optimization Algorithm Showdown: GTAA Edition

I was revisiting the choice of portfolio optimization algorithm for the GTAA portion of my portfolio and thought it was an excellent opportunity for another post. The portfolio usually contains 5 assets (though at times it may choose fewer than…

## ETN Discount/Premium List

Here’s a list of ETNs with their average daily volumes and current premium/discount to their indicative value. I’m not a fan of trading truisms, but…the market can stay irrational longer than you can stay liquid. Implementation is everything when it…

## Day of the Month Seasonality Part 3: Nikkei 225, Hang Seng, STI

This is the third and final post investigating day of the month seasonality effects in global equity market indices. In part 1 we looked at U.S. indices; in part 2 we saw that the effects were even more powerful in three major…

## Day of the Month Seasonality Part 2: DAX, CAC 40, FTSE 100

In part 1 of the series I showed the impressive predictive power of day of the month seasonality effects in US equity markets. In this post I will apply the same type of analysis to three European markets: Germany (using the…

## Day of the Month Seasonality Part 1: S&P 500, NASDAQ Composite, Russell 2000

My first post is inspired by the recent day of the month seasonality posts over at MarketSci (one, two). In this post I will show how day of the month seasonality applies to the S&P 500 as well as two…

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