Published inDataDrivenInvestorMeasuring Hedge Fund Performance with Factor Model Monte CarloIn this post I employ Factor Model Monte Carlo to measure and forecast the risk-return profile for the real case of Oracle fund.Mar 21, 2022Mar 21, 2022
Published inDataDrivenInvestorTrading the Inflation ThemeLearn how to position your portfolio to benefit from a secular change in inflation.Nov 28, 2021Nov 28, 2021
Published inInvestor’s HandbookTesting the CAPE Ratio: Cyclically Adjusted P/EThe Cyclically Adjusted PE Ratio is among the best measures of stock market valuation. Find out what the CAPE says about future returns.Oct 3, 20211Oct 3, 20211
Published inInvestor’s HandbookTesting the Buffet Indicator: Market Cap-to-GDPThe Buffet Indicator is a popular valuation metric. Check out where the indicator stands today and what it says about future market…Aug 14, 2021Aug 14, 2021
Published inDataDrivenInvestorEverything About Faber: A Critical Look at Market TimingIn this post I investigate a popular strategy for market timing based on Meb Faber’s 10-month SMA strategy.Jul 15, 2021Jul 15, 2021
Published inInvestor’s HandbookBitcoin: An Asset Allocation PerspectiveThis guide reviews everything you need to know about allocating to Bitcoin.Apr 1, 20211Apr 1, 20211
Published inDataDrivenInvestorMonetary Policy is Dead, Long Live Monetary PolicyIt’s more than just “Money printer go: Brrr!”. Textbook descriptions of monetary policy do not apply in a world of QE and excess reserves.Jan 24, 20212Jan 24, 20212
Published inDataDrivenInvestorStock Market Valuation and Volatility with RValuation is an important determinant of future stock market performance. Can valuation also be used to predict future market volatility?Jan 2, 2021Jan 2, 2021
Published inDataDrivenInvestorStructural Change in Stock Market ValuationsThe CAPE ratio reveals structural differences in stock market valuations over time.Nov 21, 2020Nov 21, 2020
Published inDataDrivenInvestorStock Market Valuation and the 2020’s in RCan stock valuations be used to predict returns and earnings growth?Oct 25, 2020Oct 25, 2020