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Setting Expectations for Monthly Trading Systems
Systematic researchers overwhelmingly use monthly holding periods to test strategies. This is probably driven by the availability of long-term monthly total return data for a wide variety of indexes, where daily data is more scarce. This is fine to a point, but investors may not be aware of just how sensitive results might be to day-of-the-month effects which may not persist out of sample.
Keep ReadingValuation Based Equity Market Forecasts: Q2 2014
We endorse the decisive evidence that markets and economies are complex, dynamic systems which are not reducible to linear cause-effect analysis over short or intermediate time frames. However, the future is likely to rhyme with the past.
Keep ReadingValuation Based Equity Market Forecasts – Q2 2014
Any analysis that relies on the past to offer guidance about the future makes the strong assumption that the future will in fact resemble the past. We have no guarantee that this will be the case. Many optimistic analysts…
Keep ReadingWorld Cup Outcomes Are Mostly Random: So Who Cares?
This post will be short and sweet as it’s largely an addendum to our previous post NFL Parity, Sample Size and Manager Selection. It was motivated primarily by an interesting analysis by Tom Murphy, a physics professor at the University of California – San Diego. We greatly admire Dr. Murphy and highly recommend his blog.
Keep ReadingArticle in Taxes & Wealth Management
The Miller Thompson / Reuters monthly Taxes and Wealth Management newsletter carried an article we authored on the relationship between portfolio volatility and retirement planning.
Keep ReadingDo You Spinu? A Novel Equal Risk Contribution Method for Risk Parity
Risk Parity seems to have (temporarily?) lost its place near the top of the institutional asset allocation wish list, no doubt because it proved vulnerable to policy shocks during last year’s central bank equivocation. Nevertheless we continue to believe the concept is valuable if thoughtfully applied.
Keep ReadingCluster Shrinkage
In this article, we would like to integrate the cluster concepts we introduced in our article on Robust Risk Parity with some ideas proposed and explored by Varadi and Kapler in the last few months
Keep ReadingThe Evolution of Optimal Lookback Horizon
Many asset class rotational systems are optimized on lookback horizon (to our observation, most use 120 days), so we thought it would be interesting to investigate the evolution of optimal lookback horizon through time. This allows us to put ourselves in the position of an analyst at different points in history and try to speculate on the choices he might have made given the information at his disposal then.
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