Archive for January, 2011
TAA Model for February, 2011
This is a new monthly feature at the MarketSci Blog. Our Tactical Asset Allocation (TAA) model selects up to four assets from a diversified basket of asset classes on the final trading day of each month. Below is the new allocation for today’s close. Click to read more about the TAA model. I eat my own cooking, so I’ve devoted a [...]
Filed under: Tactical Asset Allocation | 14 Comments
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the US stock market in February based on historical seasonality patterns. Read more after the image. Scorecard: since launching in April 2010, the monthly seasonality map has called the closing direction of the S&P 500 correct 51% of the time with [...]
Filed under: Monthly Seasonality Map | 4 Comments
February Weakness?
The end of January is nigh. This is a quick look at how the U.S. market has performed historically in February. First the numbers… From this 30,000 foot view, February has underperformed badly and is one of only two months (along with September) with a negative average return since 1930. But averages can be misleading because [...]
Filed under: Time-based | 4 Comments
For the uninitiated, the ETF VXX “tracks” the VIX, while the new ETF XIV (launched 11/30/2010) tracks the inverse daily change of the VIX. I put “tracks” in quotes because there are fundamental issues with both ETFs that mean they don’t actually follow the VIX all that well (read more from VIX & More). But despite [...]
Filed under: Trading Strategies, VIX & Volatility | 7 Comments
In My Nerd Cave
Postings have been light as of late. I’ve been hunkered down in my nerd cave trading a new widget that I’m uber excited about. The theme for my own trading in 2010 was diversifying away from pure long/short (primarily mean-reversion) trading, with the addition of pairs-trading to reduce my beta exposure and tactical asset allocation [...]
Filed under: Random Stuff | 14 Comments
