This is a summary of links featured on Quantocracy on Thursday, 07/15/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Everything About Faber: A Critical Look at Market Timing [Light Finance]In 2006, Meb Faber wrote a highly influential paper on tactical asset allocation and market timing. The strategy was particularly attractive in part because of its simplicity: Buy when monthly price > 10-month SMA Sell and move to cash when monthly price By applying this simple, mechanical strategy to the S&P 500 going back to 1900, Faber concluded that market timing can be used to enhance
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Modeling US Stock Market Expected Returns, Part I [Capital Spectator]In recent posts I reviewed several basic applications for generating fair-value estimates for the 10-year Treasury yield, which can be used as a proxy for projecting return. Lets expand this effort by forecasting performance for the US equity market over a 10-year window. The goal is developing a baseline outlook for a 60/40 US stock/bond portfolio over a 10-year horizon. In recent updates I
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The risk of investing: An exploration on SPDR Sector ETFs [Quant Dare]We will examine the relationship between annual returns and largest annual drop. Lets use some well known Select Sector SPDRs and the SPDR S&P 500 Trust (SPY). Using prices from 1999-01-01 to 2021-06-30 we calculate the annual returns and the biggest drop for each year. For example, if we compare the figures between SPY (S&P500) and XLK (Technology), we see how the dispersion in returns