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Category Archives: Investment
A Calm, Above Average June
June 2014 marks the third lowest month of realized volatility for the S&P 500 Index during June since 1950. The graph above plots the returns (x-axis) and realized volatility (y-axis) for the 65 months of June since 1950. The “above … Continue reading
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Notable Economic Releases for 3/24 – 3/28
Monday, March 24, 2014: PMI Manufacturing Index (Mar Prelim) (09:45 AM ET) Tuesday, March 25, 2014: S&P Case-Shiller Home Price Index (Dec) (09:00 AM ET) New Home Sales (Feb) (10:00 AM ET) Consumer Confidence (Mar) (10:00 AM ET) Wednesday, March … Continue reading
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FOMC Release and Market Reaction
The Federal Open Market Committee released their decision to allow the Federal Funds Rate to float between 0% and 0.25% while they once again reduced the amount of monthly asset purchases under QE3 by $10 billion. This was to be … Continue reading
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Equity Market Persistence
Equity markets sold off in early trading to the tune of -0.7% reaching a low of 1854 on the SPX. As the day progressed, that trade was completely unwound and the SPX went unchanged by midday. The SPX closed about … Continue reading
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The SPX Will Continue to Move into Overbought Territory
A quick recap to yesterday: the SPX gapped down right to my Oversold level of 1398; ultimately giving way to down to 1394. At that point, the SPX immediately reversed course back to 1398; holding that level for a bit … Continue reading
Gold: The Best Long Term Investment – Gallup Survey
I don’t blame you. Interest rates are next to nothing. Stocks are experiencing frequent bouts of high volatility. Pop went the real estate bubble. Gold has increased in value on a yearly basis for the last 10 years. I’m all … Continue reading
In Anticipation of GDP; S&P 500 Strategy
Thursday’s market action was the direct result of a short covering rally: low volume and almost zero news to act as a catalyst either way. The SPX reached above 1400 and is now comfortably above the more significant level of … Continue reading
After Apple, SPX Futures Higher; Key Levels
Yesterday started out as planned, or at least according to yesterday’s quantitative levels of 1366 / 1377. After opening up flat, the SPX took to higher levels immediately following the 10 AM economic releases–specifically the revision to last month’s New … Continue reading
Posted in Investment, Portfolio Strategy
Tagged dynamic, quantitative, SPX, strategy
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