Past
postings for the TbR page with S&P500 and the VIX
Created and
maintained by Dimitrios D. Thomakos, © 2008
06/04/2008 – The
models are still going strong...next week’s recommendation is a rotation on
Friday from the S&P500 to the VIX but the Monday model still recommends to
stay with the S&P500...we will see..
05/23/2008 –
With a slight delay in reporting, the new recommendation is a switch to the VIX
for both models. While the Friday model had gains the Monday model suffered
another loss although the signal for the VIX can be seen as correct, given the
VIX’s evolution the following days of the week (for example, the Monday model
would have had a loss if the position was closed on Wednesday rather than
Monday). There is more need for active risk management along with the
recommendations of the model...
03/11/2008 – And
now a (:…Past week’s recommendations for the S&P500, both for Friday the 7th
and yesterday Monday the 10th were not good. The markets reached a
52-week low last Thursday which was surpassed both on Friday and Monday.
Anyhow, we are committed to our models and we post their recommendations
without human hindsight! For this coming Friday and next Monday the models are
again for the S&P500.
03/06/2008 – Another yes!!!
The Monday-based model is on green territory since its inception (after the
turmoil of the 20th of January). Its last recommendation was for the
VIX which came out correct with a hefty 13% gain, vs. A loss of -3% for the
S&P500. Next week’s recommendation for Monday the 10th is for
the S&P500, which accords well with the recommendation for the S&P500
for this Friday the 7th. It is interesting to note that the last two
weeks the recommendations were uniform across evaluation horizons and in close
accord for Fridays and Mondays.
03/01/2008 – Yes!!!
This week’s Friday recommendation was a major success. Amid lots of economic
news, almost all of them not good, this past Friday were a major drawdown on
the US markets. The S&P500 dropped -1.67% over the week before with the VIX
advancing more than 9%. The cumulative return of the strategy over the past 6
weeks is 34%! Also of note is that the current recommendation, for S&P500,
is again uniform across evaluation horizons.
02/28/2008 –
Last Monday’s recommendation was successful and the Monday-based model is recovering
in the past couple of weeks. The VIX dropped over -10% while the S&P500 had
a modest gain of 1.69%. Next week’s recommendation is uniform on the VIX.
02/24/2008 – Last minute
screw-up!!! The trading recommendation for past Friday was for VIX
and all was going well during most of the trading day (click here to see
the intraday evolution on past Friday the 22nd.) But a last minute
announcement (“…that a bailout plan for troubled bond insurer Ambac Financial
could be announced next week”) turned things upside down and VIX dropped like a
stone during the last half-hour of trading. Instead of an anticipated gain the
strategy lost -3.91% on the VIX with the S&P500 having a miniscule gain of
0.23% only. Was the model recommendation wrong? I think it was not, since such
announcements (and their impact) cannot be predicted. This highlights the
importance of exit strategies, something that is not considered as part of this
project. The recommendation for next
Friday is again for the VIX (although, as in the past week, this was not a
uniform recommendation across evaluation horizons).
02/20/2008 – Another good
rotation!!! Past week’s Monday recommendation that rotated from the
VIX to the S&P500 was correct. Using yesterday’s data (Monday was a holiday
for the US markets) the VIX dropped by -7.56% while the S&P500 was higher
by 0.72%. Not a big gain for sure but it is important to note the correct sign
for the suggested asset. There is no rotation suggested for the coming week so
the Monday-based model remains on the S&P500 (although, as in the past
week, this was not a uniform recommendation across evaluation horizons).
02/15/2008 – Four in a
row!!! The Friday model has scored correctly over the past month
with 4 correct recommendations with 3 rotations! Was it just luck? Time will
tell as the model is continuously tested. The four week (Friday) cumulative
return is now 28.09% vs. 1.85% of S&P500 and -7.28% of VIX. The next
trading recommendation for Friday is VIX.
02/13/2008 – The
latest Monday recommendation came out correct. The S&P500 dropped by -3.06%
on past Monday, compared a week ago, while the VIX rose by 6.01% closing the
gap in cumulative value of the strategy and bringing it to $0.9484. The trading
recommendation for next Monday 02/18/2008 is for S&P500, although this was
not a uniform recommendation across evaluation horizons.
02/08/2008 – What a
difference a day makes!!! The Friday model has scored a 3 out of 3
correct prediction rate! As noted in the comment below, the last prediction for
VIX was realized today, as VIX rose by 15.19% over last Friday while S&P500
dropped by -4.70% (in fact the S&P500’s two week Friday-based cumulative
return is basically zero). The cumulative
value of the Friday strategy is now at 26.70%!!!
02/07/2008 – A
bad week for the Monday model...Although the markets did go down from Monday
onwards (and VIX is on the rise) the Monday drop was not enough, compared to
the S&P500 rise past week, to give a positive return. The signal was
correct (VIX) for both Monday and Friday but it seems that a positive return
will be realized for the Friday model; more tomorrow on the Friday update!
02/07/2008 –
Check the Monday model’s performance with two additional graphs on the bottom
of this page. Despite its poor performance over the past three weeks (remember
that the site launched just before the turmoil of the week of January 21st)
its still has a very solid short and long-run performance!
02/03/2008 – The
Friday model
has scored 2 out of two correct predictions and has yielded 11.51% over the
past two weeks of operation!!! Please see below for the current
wealth evaluation. Both Monday and Friday models are now predicting a rotation
to VIX for the coming week.
01/30/2008 – The
prediction for this past Monday came out correct as the S&P500 has risen
compared to the week before by 3.26% while VIX dropped by -11%. Please see
below for the current wealth evaluation. After the FED interest rate cut
announcement is quite probable that the prediction for Friday will come out
correct as well. More then on the 1st of February for the next site
update!
01/26/2008 – The
Friday trade recommendation for VIX came out correct, a 6.76% start for this week. It
would have been more impressive to get the Monday (Tuesday for this week) trade
for VIX correct as well, which would have meant a 30%+ start, but what the
heck! Is this a sign of robustness to the day-of-the-week? We will find this
out in the coming weeks!
01/25/2008 – The
hit ratio
for correct predictions over the past 100 weeks (Monday data) has reached 60%!
This is the first time that I see such a high hit ratio so check Figure 3 at
the end of the page for the evolution of wealth for the past 100 weeks.
01/25/2008 –
Check the summary section below as well as the performance performace tables
for the latest results. Note that the latest realized returns for past Monday
are computed using data from Tue the 22nd of January (US markets
were closed on Monday the 21st.) The Monday trade recommendation for
S&P500 was, of course, affected by the global turmoil in financial markets but we
still have to see the Friday trade recommendation that is for VIX., although the
markets have recovered and that may also be affected.
01/21/2008 – Data update!
Amid the news of (yet another) worldwide crash, I just realized that the weekly
data from Yahoo! Finance that I used to launch the
webpage do not correspond to the Monday daily values – they are for
end-of-week, i.e. Friday! I now downloaded the daily data and extracted the
Monday values as well to use in the analysis. This resulted in two changes: the
trading recommendation for today was changed from VIX to S&P500 for Monday
and the best performance was for 700 weeks evaluation period rather than for
800 weeks evaluation period, although the differences in final wealth are
small. I will be including both series in the analysis!
01/17/2008 – Webpage
launches!