What methods are available to suppress data snooping bias derived from testing multiple strategies/strategy variations on the same set of historical data? Which methods are best? In their March 2018 paper entitled “Systematic Testing of Systematic Trading Strategies”, Kovlin Perumal and Emlyn Flint survey statistical methods for suppressing data snooping bias and compare effectiveness of these methods on simulated More
Is the strong gain in the U.S. stock market following the November 2016 national election rational or irrational? In their February 2018 paper “Why Has the Stock Market Risen So Much Since the US Presidential Election?”, flagged by a subscriber, Olivier Blanchard, Christopher Collins, Mohammad Jahan-Parvar, Thomas Pellet and Beth Anne Wilson examine sources of the 25% U.S. stock market advance during November More
Below is a weekly summary of our research findings for 3/12/18 through 3/16/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More
What is the historical relationship between U.S. stock market earnings yield (E/P) and U.S. government bond yield (Y)? In their February 2018 paper entitled “Stock Earnings and Bond Yields in the US 1871 – 2016: The Story of a Changing Relationship”, Valeriy Zakamulin and Arngrim Hunnes examine the relationship between E/P Y over the long run, with focus More
Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine first the performance of the CBOE S&P 500 BuyWrite Index (BXM), the CBOE S&P 500 PutWrite Index (PUT) and the CBOE S&P 500 95-110 Collar Index (CLL), with the S&P 500 Total Return Index SPTR) as a benchmark. Since these series More
How can investment advisors apply historical asset performance data to address client views regarding future market/economic conditions? In their February 2018 paper entitled “Matching Market Views and Strategies: A New Risk Framework for Optimal Selection”, Adil Reghai and Gaël Riboulet present an approach for quantitatively relating historical asset return statistics to investor views. They intend this approach to More
The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for February 2018. The actual total (core) inflation rate for February is higher than (slightly higher than) forecasted.
A subscriber requested review of a finding that deviation of 10-year constant maturity U.S. Treasury note (T-note) yield from an intermediate-term linear trend predicts U.S. stock market return. Specifically, when weekly yield is more than one standard deviation of weekly trend divergences below (above) a weekly 70-week linear extrapolation, next-week S&P 500 Index return is More
Do technical trend trading/intrinsic momentum strategies work for widely used equity factors such as size (small minus big market capitalizations), value (high minus low book-to-market ratios), profitability (robust minus weak), investment (conservative minus aggressive) and momentum (winners minus losers)? In their January 2018 paper entitled “What Goes up Must Not Come Down – Time Series More
Below is a weekly summary of our research findings for 3/5/18 through 3/9/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More
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