Quantocracy’s Daily Wrap for 08/14/2023

We are often asked about stock market valuation models such as Shillers CAPE Ratio and the Buffet Indicator. These models predict long-term returns, usually forecasting the next 10 years. Our recent analysis of one such valuation model, the Aggregate Investor Allocation to Equities, motivated us to take our our own deep dive into the subject. Our goal is two-fold: (a) analyze valuation models

Picture this: you're about to board a 10-hour flight. As you board the plane (or maybe some time waiting at the gate), a notification pops up in your pocket. You're busy with other things, so you ignore it and forget about it (in fact, you're used to ignoring notifications because you thought at one point that's the only healthy way to approach them). You walk into the

One particularly notable indicator change that occurred at the close on Friday is that out NASDAQ/SPX Relative Leadership indicator flipped so that it is now showing the SPX as leading and the NASDAQ as lagging. This can be seen in the chart below. NASDAQ/SPX Relative Strength shows NASDAQ faltering now Whenever the solid (green/red) line is above the blue dashed line that means the NASDAQ is

Buying cheap growth stocks is intuitively appealing to investors Almost 50% of the US stocks are trading below a PEG ratio of 1 currently However, GARP stocks have not generated positive excess returns since 2005 INTRODUCTION In 2019, we published a research note on growth-at-reasonable-price (GARP) investing (Garp Investing: Golden or Garbage?), where we concluded that the strategy had some nice

AutoGluon-TimeSeries: AutoML for Probabilistic Time Series Forecasting Oleksandr Shchur, Caner Turkmen, Nick Erickson, Huibin Shen, Alexander Shirkov, Tony Hu, Yuyang Wang We introduce AutoGluon-TimeSeries an open-source AutoML library for probabilistic time series forecasting. Focused on ease of use and robustness, AutoGluon-TimeSeries enables users to generate accurate point and quantile