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As of 2022-01
tsterm.substack.com

As of 2022-01

Time Series Terminal
Jan 3
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As of 2022-01
tsterm.substack.com

TL;DR: amid structural adjustment: US consumer spending provides support for the market; VeriSign Inc VRSN (web security) emerges as systematically important

For 2 day ahead prediction, the top 5 most important predictive factors system-wide as of 2022-01-02 are

  • Consumer Discretionary Sector SPDR ETF XLY (consumer)

  • Fox Corporation FOX (media, working class)

  • iShares MSCI Japan ETF (Japan)

  • VeriSign Inc. VRSN (web security)

  • Consumer Staples Sector SPDR ETF XLP (consumer)

Reading off results of the same setting, the top predictive factors for (at least one of) 5-, 10-, 20-, 30-Year US Real Interest Rates are

  • Fox Corporation FOX (media, working class)

  • Consumer Staples Sector SPDR ETF XLP (consumer)

  • VeriSign Inc. VRSN (web security)

  • iShares MSCI China ETF (industrials, working class)

The top ones for (at least one of) BTCUSD, ETHUSD, Invesco Nasdaq-100 ETF QQQ, SPDR S&P 500 ETF SPY are

  • Applied Materials AMAT (semiconductor, materials engineering)

  • Goldman Sachs GS (financials)

  • ASML Holding ASML (semiconductor)

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