Alexandre Rubesam Profile picture
Assistant Professor of Finance at @IESEG School of Management. Quant finance, empirical asset pricing, ML, portfolio management. All views are my own.
Jun 15 25 tweets 7 min read
Our paper "Covid-19 and herding in global equity markets" (with @GersonJunior__) is now published in the Journal of Behavioral and Experimental Finance and freely available for 30 days using the link below.

#herding #finance #IESEGResearch #COVID19

authors.elsevier.com/a/1fFGk7tZBboo… In the paper, we investigate the presence of herding in 10 equity markets, with a particular focus on analyzing the Covid-19 period and comparing it with previous crisis period such as the 2007-2008 GFC.
May 6 5 tweets 2 min read
Update of #AssetAllocation strats in my package with yesterday's return. Brutal.
Worst static allocation: Sandwhich -12.4% YTD
Worst tactical allocation: Dual momentum -7.9% YTD
Best (least worse) static: Conservative income -6.85%
Best tactical: Ivy +1.36% YTD statistics for static allocations.
Mar 30 18 tweets 5 min read
@WifeyAlpha recently posted a thread with 16 buy-and-hold asset allocation schemes, i.e. fixed-weight portfolios that can be implemented with ETFs. I decided to write some code to test these in #R #RStats. The code is available on #RPubs:
rpubs.com/arubesam/stati… The code is a quick & dirty calculation using monthly returns with monthly rebal. It does not take into account transaction costs. The code can be easily adapted to test other asset allocation schemes.
Apr 29, 2021 23 tweets 7 min read
I recently implemented some pairs trading strategies for a paper, and decided to share an implementation of the Gatev, Goetzmann & Rouwenhorst (2006) strategy on a short article on RPubs.
rpubs.com/arubesam/Repli…
#rstats #RPubs #DataScience #finance #pairstrading #reproducibility In the RPubs post above, I provide the #R code to backtest the strategy, as well as some results replicating Gatev, Goetzmann & Rouwenhorst (2006) and Do and Faff (2010), and extending the sample to the end of 2020. In this thread, I show some of these results.
Jun 21, 2020 157 tweets 42 min read
I gave myself the challenge of reading (at least) one paper a day, every day. I'm considering keeping a live log in this thread. 🤔 I'll be generous with myself and also count any papers that I'm re-reading. Yesterday's paper.
Beltz, A. M., & Gates, K. M. (2017). Network Mapping with GIMME. Multivariate Behavioral Research, 52(6), 789–804. doi.org/10.1080/002731…