The signals for our free quantitative asset models are publicly available with a 1 day lag on opening of a trade, though we will share them with you instantly whenever our models close a trade. If you want to see the signals without delay, you can either sign up for a free account, or sign up for a premium account to see additional signals and the full composition of our model portfolio.
The S&P500 lists the largest American stocks and covers about 80% of the American stock markets in terms of market cap. Our stocks model uses daily dividend-adjusted prices for the S&P500 as input. This index consists of the 500 largest companies listed on exchanges in the United States. The LSS S&P500 model is calibrated on a history of daily stock prices going back several decades (smoothed out over the medium term) as well as a number of other exogenous risk factors across other asset classes that may impact its behavior. (Date added to LongShortSignal: 2019-10-23).
|Date open||Date closed||Days||Asset||Signal||Return||Result|
|Our model flipped short on the S&P on 21st June, and is now flipping back long again after realizing all of a +0.7% positive return. But nevermind, let us focus on the fact that our long and short signals model has outperformed the S&P500 (just about positive for the year but hanging in the balance) by a whopping +19%. That's a result we're pretty satisfied/smug about!|
|This new SHORT signal for SPX closes the previous LONG signal which was held for 99 days at a return of 18.5%. It has captured a large portion of the rebound since the Covid-19 March sell-off up to where the underlying is now relatively flat year-to-date. The long/short model is up 18.5%, whilst long-only is 15.1% and the underlying's buy and hold return is up 2.5% ytd. Whilst a SHORT signal here is better expressed as part our 'flagship' Model Portfolio which contributes a 20% weighting to it. Given the other signals within the portfolio are all long, high correlations suggest, our portfolio should continue to perform even if the market remains buoyant.|
|Our S&P500 model signalled a LONG direction mid-April, after being short since Feb 25th when the COVID-19 related sell-off really got going. In the previous downturn the model had delivered a +11.5% performance by being short, at some point outperforming the market by +57% in our long/short signals portfolio. As you will often see, our models stayed in the trade a little too long and gave up some of the upside. Nevertheless you would never have been down more than 4% in stocks during 2020 following our signals, compared to -30% on the index itself.|