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

There isn’t much changing in the way of market volatility. Read more »

quant

Momentum

Most stock indices reached new all-time highs on 11/30 which coincided with all-time highs for their respective advance decline lines. Read more »

quant

Volatility

Short- and long-term volatility are in parity, except in emerging markets. Read more »

quant

Short-term momentum is close to zero in nearly every asset class outside of the commodity space. Read more »

quant

The 10-year Treasury yield declined further this week, ending at 2.19%. Read more »

quant

The 10-year Treasury finished the week at 2.20%, which is one of the lowest points of the year. Read more »

quant

Long-term momentum in sovereign debt collapsed over the past few weeks. Read more »

quant

Short-term momentum continues to grind sideways in nearly every asset class. Read more »

quant

Current volatility is approaching the long-term volatility numbers. Read more »

quant

We think it may be important to keep an eye on international sovereign bonds... Read more »

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