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

Volatility has been declining for stocks in the short term and continues to stay low in the long term. Read more »

quant

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

quant

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

quant

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

quant

Overall, volatility for both the short term and long term remains relatively unchanged and near all-time lows. Read more »

quant

Despite a pullback in stocks last week, short- and long-term momentum are still not signaling a reversal in trend. Read more »

quant

Short-term and long-term volatility are still in line with one another. Read more »

quant

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

quant

Near-term and long-term correlations are converging but are still below historical averages. Read more »

quant

Nearly every asset class is close to 0 in near-term returns. Read more »

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