3/ "Value, momentum & defensive/quality applied to US individual stocks has a t-stat of 10.8. Data mining would take nearly a trillion random trials to find this.
"Applying those factors (+carry) across markets and asset classes gets a t-stat of >14."
2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]."
3/ " 'How satisfied are you with your life, all things considered?' Responses are ranked on a scale from 0 (completely dissatisfied) to 10 (completely satisfied).
"We center life satisfaction scores around the annual mean of each population subsample in the original population."
1/ Short-sightedness, rates moves and a potential boost for value (Hanauer, Baltussen, Blitz, Schneider)
…
* Value spread remains wide
* Relationship between value and rates is not structural
* Extrapolative growth forecasts drive the value premium
… robeco.com/en-int/insight…
2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."
3/ "We observe a robust negative relationship between value returns and changes in the value spread.
"The intercept of ≈10% can be interpreted as a cleaner estimate of the value premium, given that it is purged of the time-varying effects of multiple expansions & compressions."
2/ Part 1: Basic directional strategies
Part 2: Adjusted trend, trend and carry in different risk regimes, spot trend, seasonally-adjusted carry, normalized trend, asset class trend
Part 3: Breakouts, value, acceleration, skew
Part 4: Fast mean reversion
Part 5: Relative value
3/ Related reading
Time-Series Momentum
Two Centuries of Trend Following
https://t.co/R6JQb6Cg96
Carry
https://t.co/poFk6OWQsO
Value and Momentum Everywhere
https://t.co/l0wVgAOrhL
2/ "The broadly similar pattern of adverse health and well-being reported as new-onset at 6- and 12 months among test-positives and test-negatives highlights the non-specific nature of these symptoms and suggests that multiple aetiologies may be responsible."
3/ Related reading:
Efficacy of Vaccination on Symptoms of Patients With Long COVID
2/ Do you hedge out market beta in order to make the portfolio more risk balanced?
"Yes, hedging out market beta can help.... This can be achieved through various methods such as shorting market index futures or investing in negatively correlated assets."
3/ What are some examples of negatively correlated assets that offer positive CAPM alphas?
"Some examples of negatively correlated assets that have historically offered positive CAPM alphas include gold and equities, government bonds and equities, and REITs and equities."