This is a summary of links featured on Quantocracy on Friday, 08/18/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Avoid Equity Bear Markets with a Market Timing Strategy – Revisiting Our Research [Quantpedia]In March, we posted a series of three articles where our goal was to construct a market timing strategy that would reliably sidestep the equity market during bear markets. Each article focused on trading signals based on a specific group of indicators, namely, price-based indicators, macroeconomic indicators, and a leading indicator, a yield curve, that can predict recessions and bear markets in
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Research Review | 18 August 2023 | Factor Risk Premia Analysis [Capital Spectator]Expanding the Fama-French Factor Model with the Industry Beta Anatoly B. Schmidt (NYU Tandon School of Engineering) August 2023 Recently it was shown that the news-based stock pricing model (NBSPM) outperforms the momentum-enhanced five-factor Fama-French model (FF5M) for a representative list of holdings of the major US equity sector ETFs both in-sample (Schmidt 2023) and out-of-sample (Schmidt