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Invesco Nasdaq-100 ETF

SPDR S&P 500 ETF

SPDR Dow Jones Industrial Average ETF

6m ahead

Predictive Factors

Causally predictive factors identified as the most influential for the values of the selected instruments at the time point 6m away:

AT&T Inc

2024-12-11T15:54:59.571004 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

20-Year Treasury Constant Maturity Rate

2024-12-11T15:54:59.589973 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

iShares MSCI Hong Kong ETF

2024-12-11T15:54:59.608912 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Micron Technology, Inc. Common Stock

2024-12-11T15:54:59.630797 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Morgan Stanley

2024-12-11T15:54:59.649572 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

as of

Our Probabilistic Prediction

We train models based on the identified causal predictors and run them, with each model predicting a set of possible outcomes for the time point 6m away. The sets of possible outcomes are then aggregated.

2024-12-11T15:55:00.764103 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

Invesco Nasdaq-100 ETF

🔴 p-value: 0.0 < 0.001

2024-12-11T15:55:00.980654 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2024-12-11T15:55:01.872188 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

SPDR S&P 500 ETF

🟢 p-value: 0.001 > 0.001

2024-12-11T15:55:02.062122 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2024-12-11T15:55:03.769033 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

SPDR Dow Jones Industrial Average ETF

🟢 p-value: 0.007 > 0.001

2024-12-11T15:55:04.095002 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Trades

Each model casts a single vote on the likely direction of change. If a trade is executed, the size, in terms of the number of shares or lots, is proportional to the majority vote, and the trade is kept open for the duration of the forecast horizon, which is 6m. This exercise is repeated every day.

The position for the next day, averaged over the sizes of currently opened trades, is as follows

% Up % Down % Un­de­cided
Invesco Nasdaq-100 ETF 55% 1% 44%
SPDR S&P 500 ETF 81% 0% 19%
SPDR Dow Jones Industrial Average ETF 96% 0% 4%

with respect to the time point respectively,

Time Value
Invesco Nasdaq-100 ETF Tue 2024-12-10 UTC 520.6
SPDR S&P 500 ETF Tue 2024-12-10 UTC 602.8
SPDR Dow Jones Industrial Average ETF Tue 2024-12-10 UTC 443.69

Performance of Past Trades

The Sharpe ratio is calculated on returns measured as the difference between values rather than in percentage, assuming zero trading cost.

Invesco Nasdaq-100 ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
1.68 1.66
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2024-12-11T15:55:01.615253 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
SPDR S&P 500 ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
1.78 1.72
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2024-12-11T15:55:02.667251 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
SPDR Dow Jones Industrial Average ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
1.31 1.33
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2024-12-11T15:55:04.804658 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/