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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