I just returned from the AFA 2016 Annual meeting in San Francisco. I found two papers to be significant in regards to return predictability: Dash for Cash: Month-end Liquidity Needs and the Predictability of Stock Returns, by Kalle Rinne, Matti … Read More
We are standardizing the variables (https://en.wikipedia.org/wiki/Standard_score) in the model to make the daily report more interpretable. In the coming weeks we will also include new models comprised of additional variables not in the fundamental model. This ensemble approach will integrate … Read More
We refit the model as a part of a regularly scheduled model update procedure. New optimal indicator transformations in combination with updated variable selection caused the optimal allocation to decrease to -20%. We continue our research to determine the most … Read More