Independent market analysis
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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%.
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%.
A 10-month moving-average rule on the S&P 500 returned 10.3% a year since 1934 against 11.2% for buy-and-hold, but its worst fall was 26% instead of 51%. It beat holding in only 21 of 92 years, and three-quarters of its exits were followed by a re-entry at a higher price.
Real yields explained about a quarter of gold's monthly moves in 2003–2021 and about a sixth since, and the link has barely weakened. Yet the same relationship, applied to 2022–2026, implies a 13% fall in gold; it rose 136%. Gold also cushioned only two of the last four equity bear markets.
A 4% inflation-adjusted withdrawal from a 60/40 portfolio lasted 30 years in 96.8% of 1,509 monthly starts since 1871, and every failure began between 1964 and 1969. The first ten years of returns explain 75% of the outcome. No finished retirement began at today's CAPE of 40.6, but at 25 September 2026 real yields a 30-year TIPS ladder pays about 5% a year with no market risk.
The 10-year JGB closed at 3.07% on 24 September 2026, the highest since 1996, while the BOJ's policy rate is 1.25%. The Bank still holds 47.9% of JGBs and is shrinking that stake, and a 10-year Treasury hedged into yen now yields 2.30%, below the JGB, as it has every day since June 2022.
On Shiller's CAPE, the S&P 500's earnings yield (2.44%) fell below the 10-year TIPS real yield (2.85%) on 24 September 2026, the first negative gap since at least 2003; on FactSet's forward P/E the gap is still about 2.4 points, roughly half its ten-year norm. Nearly all of the squeeze since 2021 came from higher real yields, not higher valuations.
