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Commodity Trading Advisors, who were short the equity and bond markets, were the main targets of a major short squeeze this week. Systematic traders who were out of the market missed potential gains. Summary Rare weekly moves in the stock and bond ...

Some economists are claiming victory for their predictions of no recession this year. Tossing a fair coin is hardly a prediction and does not justify a victory lap. Some economists predicted a recession this year, while others insisted there would not ...

A historic, yet unexplainable, win streak of 15 consecutive Mondays was broken on October 23, 2023. Here are the details. The S&P 500 index fell 0.17% on Monday, October 23, 2023, after a historic winning streak of 15 consecutive Mondays. The gain ...

The US dollar and large-cap stocks have provided a better hedge as compared to gold during this inflation cycle. Emerging market stocks and bonds have been a disaster, as expected. Since March 2021, when the MoM CPI broke above 2%, the ...

This week, a famous fund manager declared a 50% probability of a world war. The market gained despite the doomsday prediction and reports of rising inflation. Why is the market rising when there are two brutal wars and the possibility of ...

Despite its purported simplicity, trend-following has a huge optimization space due to a large number of parameters. This is the primary reason for the large dispersion in performance across trend-following commodity trading advisors (CTAs). In an article on October 9, 2023, ...

The Norgate Data function to access the unadjusted price is useful when backtesting strategies for stocks. We include in this article results from a trend-following strategy that trades Russell 2000 stocks. For all backtests in this article, we used Norgate Data ...

Although it is presented as a simple trading style that “lets profits run and cuts losses short”, in reality, trend-following has a huge optimization space. The result is high dispersion in the returns of various managers, periods of high performance, ...

The most robust equity portfolio hedge is cash, but for this to work, it requires timing the market. However, it is not as complicated as opponents of market timing claim. Bonds are not a hedge. Those who needed proof that bonds are ...

As strange as it may seem, extreme macro calls are prevalent in the financial blogosphere and social media. These extreme calls cause volatility. Someone would think two rational macro analysts cannot have opposite but extreme views. For example, one macro analyst ...