Up to the second "NFV" ~1168.24. SPX 1167.67. In between the above post and this one, it also tracked SPX identically, up and down. So:
1) The tracking appears to be nearly exact.
2) If this continues, then the question becomes, does my "NFV" have predictive (lead/lag) value?
3) Another intriguing possibility is that "NFV" and SPX coincide at market turns. If so, we may be signaling a new regime here, not necessarily down, but perhaps one with a more symmetric risk distribution instead of one with such strong auto-correlation.
I am pretty sure that point 1 is not stationary, that is, it will go in and out of sync as market shifts regimes, so point 2 is likely to be premature at this point. It might still some have some statistical significance even during regime shifts (point 3), but that gives you stomach ulcers when actually traded during bad (not in sync) stretches. Still, knowing what regime the market is in is valuable, even if a blunt tool.
1) The tracking appears to be nearly exact.
2) If this continues, then the question becomes, does my "NFV" have predictive (lead/lag) value?
3) Another intriguing possibility is that "NFV" and SPX coincide at market turns. If so, we may be signaling a new regime here, not necessarily down, but perhaps one with a more symmetric risk distribution instead of one with such strong auto-correlation.
I am pretty sure that point 1 is not stationary, that is, it will go in and out of sync as market shifts regimes, so point 2 is likely to be premature at this point. It might still some have some statistical significance even during regime shifts (point 3), but that gives you stomach ulcers when actually traded during bad (not in sync) stretches. Still, knowing what regime the market is in is valuable, even if a blunt tool.