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Has the Fed Repealed Mean Reversion?

  • Markets
  • Charlie Bilello

Few investors are likely appreciating just how rare the last 18 months have been. The S&P 500 has now gone 373 trading days without a test of its 200-day moving average, an extraordinary feat. In fact, the record over the past 50 years was set in the historic run-up of 1995-96, where the S&P 500 […]

We are honored to announce that the National Association of Active Investment Managers (NAAIM) has awarded us 3rd place in the 2014 Wagner Award competition for our paper entitled “An Intermarket Approach to Tactical Risk Rotation.” The full paper is now available to download on the Social Science Research Network (SSRN) (click here). In the […]

How Much Longer?

  • Markets
  • Charlie Bilello

Complacency in the equity market is nearing historic levels and it isn’t difficult to understand why. The S&P 500 has gone 371 trading days without a test of its 200-day moving average, the longest stretch in the past 50 years with the exception of the 385 day run in 1995-96. Over the past 17 months, […]

It’s that time of year again when we’re all reminded of one of the most famous sayings on Wall Street: “sell in May and go away.” The concept is simple enough. The stock market tends to perform better on average in the November through April period than the May through October period. The performance differential […]

Each year, thousands of new undergraduate and MBA students are indoctrinated with the virtues of the almighty Efficient Market Hypothesis (EMH). Despite an abundance of evidence disproving the central tenets of the theory, the orthodoxy remains in place. In the academic world, the desire to explain market movements in one convenient theory seems to trump […]