Tuesday, April 14, 2015

Ponzo 25 year lookback on the SPY....04.14.15

Yesterday we looked at the S&P forecast using a 50 year analysis of the GSPC.  Today we compare the results of that forecast with the SPY ETF using a 25 year lookback.  The last 25 years have a much more dramatic chart path and massive relative volatility.  Many argue that the first 25 years of the S&P have considerably less relevance when developing forecast models so I've once again run a Ponzo update using the SPY ETF.  The net result is that the SPY version has a more bearish tone with lower odds for short term neutral performance.....and while the model is obviously just a mathematical formulation of bull/bear odds based on a 25 year lookback at what has happened when similar price patterns have presented...it does help to frame a risk profile for short term investing.