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).

Curate

Choose one or multiple criteria to find just the posts you want:

  
  
  
  
Search
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

Correlation

Consistent with the pull back in stocks, correlations decreased slightly as the macro theme of inflation and rates took a breather. Read more »

quant

Correlations among all asset classes are low and going lower.  Read more »

quant

Correlation

Correlations continue to decline in most asset classes except for currencies.  Read more »

quant

We think the declining correlation across all markets signals a fading macro theme related to rates and inflation. Read more »

quant

Short-term momentum continues to show little movement, but long-term is still in line with a bull market. Read more »

quant

Long and short-term correlation are more or less in parity with each other, signifying no particular push toward any single macro theme. Read more »

quant

Correlations continue to rise, indicating a strengthening macro trend likely related to falling interest rates. Read more »

quant

Correlations among asset classes increased over the short term. Read more »

No more results