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Mr. Ice

Top callers are again out this week, but the bulls continued to march higher.  While the Jobs gap left today may fill in the coming days, the trend is pointing up with economy picking up strength.  Happy 4th.

CSS Analytics

mean dispersionIn part 1 of the series we introduced a three-factor model that decomposes momentum profitability and how that can be translated into a momentum score for an asset universe. In this post we will show how momentum strategies can be profitable even under the conditions where the market is efficient and time series performance is not predictable.

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BZB Trader

Momentum fizzled with evident choppiness and volume waned but VIX dropped into the red even further to retrace recent lows and XIV hit another new high.
It was a mixed bag for stocks and once again we saw marginal weakness into the close.

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Mr. Ice

Calls for a Twin Tops or at best a consolidation phase at lower levels with Earnings due out soon is again popular.  It is a delicate area due to the World Reserve Banks protecting assets so well and lengthening normal cycles.  VIX continued to stay very low with a possible raise in July.  With good pre-4th of July seasonal, anything above 1960 Sept ES could lead to more upside.

CSS Analytics

In the previous post we introduced the momentum score as a measure of the potential for momentum profits for a given investment universe. Before proceeding to part 2 of the series, I thought it would be interesting for readers to see a pairwise matrix of momentum scores to get a better feel for how they work in practice.

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BZB Trader

The XIV was back to its close 2 days ago while the VIX was marginally lower.  This market just doesn’t want to go down even in the face of weak economic news and we may be seeing another leg grinding up to the July 4th holiday. Read the rest of this entry »