Volatility Scaling with Autocorrelation

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Autocorrelation enables us to estimate the volatility of an investment portfolio in a more precise way.
  • The S&P 500 returns characterize by negative autocorrelation which means that the S&P 500 has a less grade of risk than the estimation based on the assumption of stock returns independency.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here

Hedge and Safe Haven Financial Assets

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Gold, short-term treasury bills, long-term treasury bonds, the spread between the long-term treasury and corporate bonds, 5-month volatility, and 1-month volatility are uncorrelated or negatively correlated with the S&P500 making them good candidates for a role of a hedge asset.
  • 5-month and 1-month volatility as exchange trade products, and also the short-term government bills and long-term government bonds able to play a role of a safe haven asset.
  • Correlation analysis of the S&P500 and TNX shows that the correlation structure is not consistent from data frame to data frame.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here

Stock Market Forecast: Does the Stock Market Feature Memory?

This article was written by:

Sergey Okun  Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.

Alisa IartsevaAlisa Iartseva – Data analyst at I Know First.

Highlights:

  • The stock market has a long-term memory that allows us to make reliable predictions of the future based on previous behaviors and tendencies.
  • The S&P 500 has the highest Hurst exponent compared with the DAX 30, the CAC 40, and the FTSE 100.
  • The Hurst exponent rises with the extension of the step period length which decreases noise in a time series and increases predictability.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here

Hedge Funds Performance: Did the Hedge Fund Industry Pass the Test of Market Uncertainty in 2021?

Sergey Okun  This "Hedge Funds Performance: Did the Hedge Fund Industry Pass the Test of Market Uncertainty in 2021" article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Despite the fact that 2021 was a year of high macroeconomic uncertainty and market volatility, the S&P 500 rose by 27% with a consistent uptrend dynamic during the whole year.
  • The S&P 500 significantly overperformed HFRI Fund Weighted Composite Index by 16.7% in 2021.
  • The I Know First S&P 500 portfolio beat the S&P 500 by 56.56% in 2021.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here

SPY/RSP Forecast for 2022: Shifting to Equal Weighted Portfolio

Sergey Okun  This "SPY/RSP Forecast for 2022: Shifting to Equal Weighted Portfilio" article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • The current SPY/RSP spread of 2.88 is higher than the historical level of 2.75.
  • I Know First AI provides a positive outlook on SPY and RSP for the 1-year horizon.
  • It is expected that the FER will reduce its security holdings, which will decrease market liquidity, and tighten financial conditions.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here

S&P 500 Stocks: AI Beats S&P 500 by 26.25% with an Accuracy of 95%

Highlights:

  • The highest average return is 61.22% for the All Signals on a 1-year time horizon
  • The most impressive out-performance against the S&P 500 index is from the Top 5 signal group in the 7-day horizon with 1.96 times higher return
  • Even during the pandemic, all the stock forecasts have outperformed the S&P 500 index
  • Predictions reach up to 95% hit ratio regardless of economic conditions amid COVID-19
  • I Know First provides an investment strategy for institutional investors that generated a return of 101.83% and exceeded the S&P 500 return by 47.19% for the analyzed period

Read Full Report

I Know First Weekly Review Algorithmic Performance: December 1st, 2020


I Know First Weekly Newsletter
Investment Selection Using AI Predictive Algorithm
December 1, 2020

Read The Full Newsletter

I Know First Weekly Review Algorithmic Performance: April 9th, 2020

I Know First Weekly Newsletter
Investment Selection Using AI Predictive Algorithm
April 9, 2020

Read The Full Newsletter