The Epsilon Theory Archive

“History doesn’t repeat itself, but it often rhymes.” Mark Twain said that, or Abraham Lincoln depending on what corner of the internet you find yourself on any given day. Likewise, there are common themes, topics and subjects that run throughout the Epsilon Theory archive. All of our writing is categorized, tagged and organized to be easily accessible, but beware: your search for truth on one matter may very well lead you down any number of rabbit holes (and we hope that it does).

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quant

Volatility

Short-term volatility among every asset class is unusually high but hasn’t really hit extreme levels.  Read more »

quant

Volatility

Volatility has declined in the short-term for nearly every asset class other than bonds. Read more »

quant

Correlations fell over the past few weeks in nearly every asset class, however this may be a seasonal impact. Read more »

quant

Momentum

Long-term momentum continues to be strong, but short-term momentum has been nearly flat indicating that momentum has slowed a bit in this asset class. Read more »

quant

Correlation

Note the increasing correlation of bonds to the overall basket of assets. Read more »

quant

Short-term momentum continues to lag long-term momentum among stocks. Read more »

quant

Correlations dropped among most asset classes. Read more »

quant

Short-term momentum is starting to diverge from long-term momentum for most asset classes. Read more »

quant

Correlations are on the rise in nearly every asset class. Read more »

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