We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of a S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the CRSP value weighted S&P 500 index portfolio (including dividends) for...

A new FIR filter is designed to date U.S. recessions with the unemployment rate and the Conference Board employment trend index. Our approach is simple but one can see from the curve the dynamic process how the economy moves from one business cycle to the next. We also present a new use of the...

We study the filter in Ma and Tang (2012) and show that the filter has predictive power for sunspot cycles. The filter is a 12-month simple moving average of the sum of one month, three month and six month differences of the logarithm monthly sunspot number series. We show that this filter leads...