Meta Strategy Derivatives Portfolio – Probability Map Update.

The overall market picture is becoming increasingly muddled.

In recent weeks, the vast majority of quantitative studies and indicators, have been pointing to an increased probability for negative S&P 500 returns over the summer.

But last week, we saw several momentum indicators triggering new positive signals, in concert with improvement in market breadth. This lends increasing support to the hypothesis of a “Stealth Correction”, which rotated across sectors, while leaving the major indices largely unharmed.

However, several warning signals still persist, and I don’t think we are quite out of the woods yet…

As usual, I map my current data-driven estimates of the probabilities for future returns of the S&P 500 over the short, medium, and long term.