Spiders, the Finale
Buying everything that worked
Over the last few weeks, we’ve been looking at different ways to trade the S&P 500 Sector SPDRs (Spiders.) We started with using the Efficient Frontier to make the allocation decision for us in our first post:
Then, we looked at buying the best performing sector over different time-frames.
Then, we tried buying the worst performing sector.
None of them worked.
This week, we tried buying all sector ETFs that had a positive return.
The results were a bit mixed. There is a set of backtesting specs that would’ve allowed one to hit the right note. Check it out here and see if you can visualize it.
INVESTING; Humbling Lessons From Parties Past (2000) NYT
And after the initial public offerings, day traders rapidly exchange Internet shares as if they were Pokemon cards for adults.
But the rules of valuation have not changed. Stocks are only worth the present value of the cash flows they are able to generate for the benefit of their shareholders.
On backtesting and developing systematic trading strategies (2017) (PDF)
The Momentum Factor is Driven by Behavioral Bias, Not Risk (2021) (AA)
Meme of the Week
Earnings season was in full swing and some of the meme stonks had it rough.