Hull Investments, LLC and its related financial companies strive to find the most elegant and efficient balance in the successful investment process; utilizing the science that is at the intersection of statistics, finance, and computer science.

Our mathematicians, statisticians, engineers and computer scientists perform fundamental research and advanced quantitative analysis, and utilize cutting-edge technology to identify and create new strategies in the investment arena.

Our organization and our people are diligent students of several of the best schools of both statistical learning (in the tradition of Hastie, Tibshirani and Friedman at Stanford) as well as machine learning. We deploy state-of-the-art software, including many packages from the R statistical language such as caret and mlr along with their underlying boosting, bagging and tree-based classification and regression methods. Our researchers attend conferences in both statistics and machine learning to remain at the forefront of current industry and academic research.

It is this core belief in the academic foundation and principles of our work that inform our companies’ approach to investing.   In “A Practitioner’s Defense of Return Predictability,” a white paper authored by Blair Hull and Xiao Qiao, the issues and opportunities of market timing and return predictability are explored.

Download the paper from the Social Science Research Network Website

The paper discusses a six-month horizon model that leverages correlation screening to combine a constantly changing collection of twenty academically referenced variables in order to demonstrate forecasting efficacy. Using a walk forward simulation in which positions in SPY are taken proportional to the model forecast equity risk premium, this approach indicates simulated strategy yields of more than twice the annual returns of a buy-and-hold strategy and a corresponding Sharpe ratio four times that of buy-and-hold.

The results of the paper can be replicated by accessing the following files: 1) How to replicate “A Practitioner’s Defense” and 2) the White Paper Indicators file.  Please use the links below to download these files:

How to replicate "A Practitioner's Defense"

Paper Indicators

 

Daily Report

Please click the link below to download the latest copy of the daily report.

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Take Our Quiz

Take a quick Quiz on Market Timing & Predictability and on our paper "A Practitioners Defense of Return Predictability" (opens in another browser tab)