Independent market analysis
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On SPY from 1994 to November 2026, neither a 200-day trend rule (9.4% a year) nor a 2-day RSI mean-reversion rule (7.0%) beat buy-and-hold (10.8%), and both roughly halved the worst fall. The trend rule won 44% of its trades and lagged in most years; the reversion rule won 69% and lost 25% in five weeks in 2020.
From 1969 to 2026 the average US industry had 23.2% annual volatility. Ten industries chosen at random cut it to 17.8% and all 48 to 17.2%, but diversification did not protect against the market’s own fall: weighted by value, the 48 industries lost within 1.3 points of the market in six falls of more than 20%.
From July 1927 to September 2026 the highest-yielding 30% of US stocks compounded at 11.34% a year against 10.26% for the market. Most of that edge is the value premium: after size and value, 0.21 points a year are left. The top 10% by yield did worse than the next two groups, with more risk.
Lula won Brazil’s runoff with 51.79%. By Monday morning Ibovespa futures fell as much as 19.85%, the dollar fixing rose 11% and B3 halted share trading.
US stocks split as Brent settled at $116.72 and AI financing costs came into focus, while PHP2Shell, a Node.js RCE and the eMudhra certificate compromise exposed another cost of the AI economy.
TRIX is the daily change of a price smoothed three times. On the S&P 500 since 1954, the 15-day TRIX lagged 21 trading days on average and crossed zero a third as often as a same-lag average, but no TRIX rule beat buy-and-hold on return, nor a same-exposure mix after 1992.
On the S&P 500 from 1954 to 2026, with costs and next-day execution, none of four common indicator rules or 90 variants of them beat buy-and-hold on return after 1992. MACD and TRIX lost to a same-exposure stock-and-bill mix in both periods; the 200-day average kept a better Sharpe ratio, not a return edge.
In the papers that made them famous, risk parity beat 60/40 and volatility timing raised the market's Sharpe ratio by a quarter. From 1965 to 2026, risk parity trailed 60/40 (Sharpe 0.35 against 0.45) and lost 28% in 2022. Volatility targeting cut the 2007–09 loss from 50% to 30%, but its Sharpe gain did not last.
Since 1953 the 10-year minus 3-month Treasury spread has inverted nine times. Seven inversions were followed by a recession 5 to 16 months later. Two were not: 1966, and the record 2022–2024 inversion, which has not been followed by a recession the NBER has dated. The signal says little about timing, and less about stocks.
From 1928 to 2025 the S&P 500 averaged 11.85% a year but compounded at 10.02%. The gap, roughly half the variance of returns, is volatility drag. It is why about two in three simulated 30-year histories fall short of an average-return projection, and why a simulated 3x daily fund lost 52% from 2000 to 2007 while the index gained 12%.
