2015 YTD Live performance

While we still have one more month to end the year of 2015, we can celebrate the wonderful live performance of the Index Pairs Trading and Its Implied Timing Ability.

Well predicted urgly week

The S&P 500 Index dropped 3.6% in the week of November 9 - 13. Well, this selloff is well expected and predicted by our models.

The pairs trading model suggested to short NDX and long INDU on October 30, which implied that the equity market was likely to drop in the near future.

The index timing model showed a sell signal on Novermber 5. Even though there was a short-live buy signal before the market close of Novermber 11, a strong sell signal followed the market open on Novermber 12.

When both models point to the same direction, the market is very hard not to follow the trend.

The rally is continuing

The S&P 500 Index has climbed up by 100 points since the current UP signal appeared before the close on September 30. The emerging markets have also followed with more than 9% rally. The Hang Seng China Enterprises Index reopened on Oct 2 with an UP signal, and has since incresed by 800 points, or 8.3% by the close of October 9.

Investors are wondering whether the rally will continue. Interestingly, while the pairs model sucessfully predicted the rally at the open of Sept 29, the NASDAQ 100 Index (NDX) has lagged the Dow Jones during the last few days. However, the model still maintains the UP trend. The S&P 500 Index has got support at 2010. The rally is likely to continue if the index doesn't drop below this level.

Market finally turns to long NDX and Short INDU: on the rise

Smallcap and growth stocks have been oversold. Markets are on the rise

QTD Performance

Recent performance update

Pairs trading continues to perform well.

Live performance of the flagship model

Up to today at 11:30 Mountain Time.

Please also note that market-neutral returns are uncorrelated with the timing returns.