Purpose

BoB is a research tool that aims to predict whether the next-day daily price change of the S&P 500 will be below a given threshold (for example -1%). The first estimate of its daily prediction is available a few minutes before the cash market closes (4 PM EST). BoB is a stand-alone predictive tool that is based on price, volume, volatility, seasonality, and changes in the macro outlook. Like Merlin, BoB's primary objective is to protect capital and its portfolio consists solely of the S&P 500. The exposure is 0% or 100% (no short, no leverage).

Key Output

T+1 sign of the SPX index performance - thresholds at 0%, -0.5%, -1% and NPL signals.