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//Momentum //

Don FishbackStock MarketLeave a Comment

Interesting post from the WSJ on how momentum in the first half of the year carries over to the second half when the first half is exceptionally strong. What I find interesting is how our Three Pillars service was able to capture all of what turned out to be the 10th largest 1st half gain ever.

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//Machine Learning and Noisy Data //

Don FishbackGeneral Investing, OptionsLeave a Comment

We’ve been working on a new artificial intelligence engine for several months now. And while the programming of feedforward networks, recurrent Long-Term-Short-Term networks and generative adversarial networks may sound super cool and wonky, the real challenge has been cleaning noisy data. With over 100 billion datapoints in our database, there are bound to be some errors. And knowing what’s good … Read More

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//Copper Plunge Has Me Nervous //

Don FishbackEconomy, Stock MarketLeave a Comment

Here’s an interesting article about the plunge in copper, and how it might be signaling future economic weakness. Those of you familiar with our simple three factor system know that one of the factors is commodity prices. When commodity prices fall sharply – not just fall, but plunge – it’s reason to be nervous because it signals that demand is … Read More

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//Interesting Volatility Research //

Don FishbackVolatility

Interesting article at Alpha Architect about two research papers pertaining to volatility. The first has to do with idiosyncratic volatility (“IV”), and how higher IV leads to short-sale contraints, which leads to overvaluation, and subsequent bigger declines. Research that I performed last year confirmed that stocks with the biggest short sale contraints fell the hardest. By looking for stocks with the … Read More

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//Emerging Markets Are Underperforming Again //

Don FishbackStock Market

Earlier we wrote about emerging markets and how the companies that construct the indexes were going to increase the Chinese component. Now this: “Regulatory filings show that hedge funds in the first quarter more than doubled their investments in the three largest exchange-traded funds that buy stocks in emerging markets. Too bad.” It’s ironic because I was noticing how the … Read More

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//Record Increase In The Volatility of Volatility //

Don FishbackVolatilityLeave a Comment

We all know that volatility picked up in a big way when Trump tweeted that fateful Sunday morning. And although the increase was large, it was nowhere near a record by any measure. But what about the volatility of volatility itself? Did volatility start to fluctuate more than normal? Now remember, implied volatility is the expectation of what volatility is … Read More

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//Are You Unknowingly Betting On China During A Trade War? //

Don FishbackStock MarketLeave a Comment

This from yesterday’s Wall Street Journal: “Investors are about to buy billions of dollars in mainland Chinese stocks even as trade tensions whipsaw markets. “Two of the largest global index providers, MSCI and FTSE Russell, will soon begin ratcheting up exposure to companies listed on China’s domestic exchanges. The increases will force asset managers to purchase shares of Chinese companies … Read More

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//Freakish Volatility: Another Confirmation //

Don FishbackVolatilityLeave a Comment

A recent Bloomberg article confirms the fragile condition of the market. Don’s recent post talked about how algorithmic trading is causing a lack of liquidity that contributes to volatility spikes. This article confirms that the volatility spikes are occurring without the simultaneous spikes in stock volume that you might usually expect. The author, Rachel Evans, highlights the negative correlation between … Read More