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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note

This is Part 1 of the multi-part Three-Body Alpha series, introduced in Rusty's recent Investing with Icarus note. The Series seeks to explore how the increasing transformation of fundamental and economic data into abstractions may influence strategies for investing — and how it should influence investors accessing them. Read more »

quant

Correlations among equities is rising, likely signaling a reboot of the reflation theme that drove the market through much of 2017. Read more »

quant

Market risk remains high for nearly every asset class with very little changes over the past few weeks. Read more »

quant

Correlations remain low among all asset classes. Read more »

quant

Volatility

Volatility picked up slightly last week, but this is off historically low levels and is likely just backing up from those levels. Read more »

quant

Momentum

Momentum continues to favor risky assets such as stocks and commodities. Read more »

quant

Volatility

Volatility supports the momentum picture for stocks and certain commodities while also indicating a weak bond market. Read more »

quant

Momentum

Short- and long-term momentum are supporting continued growth for stocks and certain commodities, while the picture for bonds continues to look weak. 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

Momentum

Momentum for short- and long-term in stocks and energy commodities still look set for more gains. Read more »

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