This is a summary of links featured on Quantocracy on Sunday, 11/22/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Structural Change in Stock Market Valuations [Light Finance]In Stock Market Valuation and the 2020s in R I investigated whether the CAPE ratio could forecast the future trajectory of earnings and/or stock returns over the period 1980-2019. From this study, we made a couple of observations: The CAPE ratio cannot be used to forecast future earnings growth at a 1- or 5-year horizon The CAPE ratio only weakly explains stock returns over the next year.
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Updating Thanksgiving Week Historical Odds [Quantifiable Edges]The time around Thanksgiving has shown some strong tendencies over the years both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday of Thanksgiving week. The top row is the Monday after Thanksgiving. Monday and Tuesday of
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Estimating the positioning of trend followers [SR SV]There is a simple method of approximating trend follower positioning in real-time and without lag. It is based on normalized returns in liquid futures markets over plausible lookback windows, under consideration of a leverage constraint, and uses estimated assets under management as a scale factor. For optimization and out-of-sample analysis, the approach can be enhanced by sequential estimation