Archive for February, 2011
TAA Model for March, 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 | 7 Comments
Seasonality Map for March, 2011
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the US stock market in March 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 50% of the time with [...]
Filed under: Monthly Seasonality Map | 2 Comments
March on Par
The end of February is nigh. This is a quick look at how the U.S. market has performed historically in March. First the numbers… From this 30,000 foot view, March has performed more or less on par with the average month over the last 80+ years. But averages can be misleading because they say nothing [...]
Filed under: Time-based | Leave a Comment
Estimating the impact of the VIX futures term-structure on volatility ETFs like VXX or XIV should be uber important to volatility traders (including recent converts like me), because most of the time it acts as a strong tailwind in favor of either trading short volatility (ex. short VXX/long XIV) or long. Geek note: I’m using [...]
Filed under: VIX & Volatility | 7 Comments
Beware the Wrath of VXX
This should be a statement of the obvious, but a week doesn’t go by that I don’t see someone extolling the virtues of VXX as a free lunch (so perhaps it’s worthwhile to beat this dead horse once more)… Below is a graph of VXX since inception in 2009: For two years, VXX has been on [...]
Filed under: VIX & Volatility | 6 Comments
