Econometric Analysis Of The S&P 500: November 2019 Vs. November 2007

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About: SPDR S&P 500 Trust ETF (SPY), Includes: BAPR, BAUG, BJUL, BJUN, BOCT, DMRL, EPS, IVV, PAPR, PAUG, PJAN, PJUN, PPLC, RSP, RVRS, RWL, RYARX, SDS, SFLA, SH, SPDN, SPLX, SPUU, SPXE, SPXL, SPXN, SPXS, SPXT, SPXU, SPXV, SSO, SSPY, UAUG, UJAN, UOCT, UPRO, USMC, VFINX, VOO
by: Geoff Considine
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Geoff Considine
Long-term horizon, medium-term horizon, portfolio strategy, Quantitative models
Summary

As in late 2007, the S&P 500 has delivered high returns over an extended period.

Many investors are getting jumpy after a long bull run and worry about a major decline.

Analysis of trends in the S&P 500 over time suggests that 2019 is a very different animal than 2007.

Trend-following models have a long history in portfolio management, and there is solid evidence that these strategies can provide risk-adjusted return that is above a buy-and-hold approach. The simplest approach to trend following is to