How’m I Doin’?

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That line was made famous by New York City Mayor Ed Koch in the 1980s. We are just as curious so we are firm believers in having an appropriate benchmark – a standard of performance – for our investment strategy. … Read More

American Finance Association Meeting

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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

Tis The Season

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As we write this the S&P 500 with dividends is down 0.4% for the year and more than three percent in December. A down December is unusual based on historical returns going back to 1930. Indeed, they averaged 1.7% since … Read More

Adding Short Term Models

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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 More

Model Enhancement Update

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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

Daily Report Commentary

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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