PREDICTIVE MODELING OF EQUITY RISK PREMIUM (ERP)
This informational blog was created in accordance with our practice of informing our interested parties of any changes to the “model”. It is here that we demonstrate our motivations and evidence to support these enhancements.
Predictive modeling of Equity Risk Premium (ERP) is on-going and in some cases we may choose not to disclose those specific data sources that we consider proprietary.
According to Robert Clemens (1989) “Forecast accuracy can be substantially improved through the combination of multiple individual forecasts”. Today we begin implementation of a short-term adjustment to our HTUS portfolio. The short-term adjustment comes from one-day models based on seasonal, … Read MoreRead 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 MoreRead More