IWM, SPY Behave As Predicted

Includes: IWM, SPY
by: Michael Bommarito

As I had predicted before today's open, the S&P 500 (NYSEARCA:SPY) outperformed the Russell 2000 (NYSEARCA:IWM) today. Given no unexpected news significant enough to drive markets, it was thus a profitable risk-free intraday strategy to short the IWM and go long the SPY.

Though the maximal profit today was just over 0.3%, it is important to remember that the worst case loss for this strategy is also attractively low, and that its underlying liquidity and predictability allow for very efficient automation under algorithmic trading platforms.

SPY IWM comparison