For medium-term asset managers: QQQ, SPY, DIA following November Powell talk

As tsterm.com only computes on price data for now for causal inter-temporal predictive relationship, when we write “it happens” below, it was a simple statement that some events took place, without implying that tsterm.com incorporated them into the computation. — The data may have reacted to them, but, it is hard to establish that moving up or down of a figure is due to one particular event and only.

It happened that

• NVDA jumped at the end of May 2023, having gained attention after ChatGPT launch on Nov 30, 2022

• Thu 9 Nov, Powell warned against expectation that interest rates will drop once we have a few months of good economic data.

• Tue 14 Nov, US inflation data released and dropping

Let’s use 6-month forecast horizon, look at the synthetic positions of US equity stock index ETFs QQQ, SPY and DIA around the period. The white paper “backtest” section explains why the synthetic position is the average of most recent net predictions, and in the case of 6-month forecast horizon, quite smooth.

The Profit and Loss (P&L) was computed assuming zero trading cost, based on the synthetic positions.

QQQ synthetic position

through 9 Nov. descended to 0.40

10-17 Nov 0.41

17-29 Nov 0.42

SPY synthetic position

through 6 Nov descended to 0.62

7-9 Nov 0.63

10-14 Nov 0.64

15-21 Nov 0.65

22-23 Nov 0.66

24-29 Nov 0.67

DIA synthetic position

through 3 Nov. descended to 0.93

6-13 Nov 0.92

14-17 Nov 0.93

20-29 Nov 0.92

QQQ

SPY

DIA