Wifey Trend & Momo
(signals: 2wks to 12mths)

EQUITIES
$SPY S-T bear 3/5, L-T bear 5/5
$QQQ S-T bear 5/5, L-T bear 5/5
$DIA S-T bull 3/5, L-T bear 3/5
$IWM S-T bear 3/5, L-T bear 4/5
$FXI S-T bull 5/5, L-T bear 4/5
$KWEB S-T bull 5/5, L-T bull 4/5
$EFA S-T bull 5/5, L-T bear 3/5

US TREASURIES
$BIL S-T bull 3/5, L-T bull 4/5
$SHY S-T bull 4/5, L-T bear 5/5
$IEI S_T bull 3/5, L-T bear 5/5
$IEF S-T bull 3/5, L-T bear 5/5
$TLT S-T bear 3/5, L-T bear 5/5
$TIP S-T bear 3/5, L-T bear 5/5
$STIP S-T bear 3/5, L-T bear 5/5

COMMODITIES
$CL_F S-T bear 5/5, L-T bear 5/5
$NG_F S-T bear 5/5, L-T bear 5/5
$GC_F S-T bull 5/5, L-T bull 3/5
$SI_F S-T bull 5/5, L-T bull 3/5
$HG_F S-T bull 5/5, bear 3/5
$DBC S-T bear 5/5, L-T 4/5
$DBA S-T bear 4/5, L-T bear 5/5

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Wifey

@WifeyAlpha

Jan 6

US Equity Market Drawdowns

Drawdown 2021 to Sept 2022

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Wifey

@WifeyAlpha

Jan 6

Trends and Cycles of Style Factors in the 20th and 21st Centuries (BlackRock, 2022) papers.ssrn.com/sol3/papers.cf…

To get a sense if the regimes have changed their frequency across the 20th and 21st centuries,
I compute the realized regime durations in each sample.

A given time period is classified as regime 1 if the smoothed probability 𝑃 𝑟(𝑠𝑡 = 1|𝐼𝑇) ≥ 0.5 and regime 2 if 𝑃 𝑟(𝑠𝑡 = 2|𝐼𝑇) >0.5, with 𝑃 𝑟(𝑠𝑡 = 1|𝐼𝑇) + 𝑃 𝑟(𝑠𝑡 = 2|𝐼𝑇) = 1.

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Wifey

@WifeyAlpha

Jan 5

Trend & Momo Wifey Dashboard
**********************************************
Trend and momentum signals are on 2 weeks to 12 months timeframe. This dashboard is supported by internal research and external research from some of the largest hedge funds in the world.

US TREASURIES
US T-Bills: $BIL bull 7/10
US T-Notes: $SHY bear 7/10
US T-Notes: $IEI bear 7/10
US T-Bonds: $IEF bear 8/10
US T-Bonds: $TLT bear 9/10
TIPS L-T: $TIP bear 8/10
TIPS S-T: $STIP bear 9/10

US EQUITIES
S&P 500: $SPY bear 7/10
Nasdaq: $QQQ bear 10/10
Dow Jones: $DIA weak bear 6/10
Russell 2000: $IWM bear 9/10

INTERNATIONAL EQUITIES
Ex US: $EFA no trend 5/10
EM: $EEM weak bull 6/10
China: $FXI weak bull 6/10
China Tech: $KWEB bull 8/10

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