Publications by OSM
Price is what you pay
Stock analysts are usually separated into two philosophical camps: fundamental or technical. The fundamental analyst uses financial statements, economic forecasts, industry knowledge, and valuation to guide his or her investment process. The technical analyst uses prices, charts, and a whole host of “indicators”. In reality, few stock analyst...
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Price is what you pay
Stock analysts are usually separated into two philosophical camps: fundamental or technical. The fundamental analyst uses financial statements, economic forecasts, industry knowledge, and valuation to guide his or her investment process. The technical analyst uses prices, charts, and a whole host of “indicators”. In reality, few stock analyst...
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Implied risk premia
In our last post, we applied machine learning to the Capital Aset Pricing Model (CAPM) to try to predict future returns for the S&P 500. This analysis was part of our overall project to analyze the various methods to set return expectations when seeking to build a satisfactory portfolio. Others include historical averages and discounted cash flow...
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Mad methods
Over the past few weeks, we’ve examined the three major methods used to set return expectations as part of the portfolio allocation process. Those methods were historical averages, discounted cash flow models, and risk premia models. Today, we’ll bring all these models together to compare and contrast their accuracy.Before we make these compa...
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Portfolio simulations
In our last post, we compared the three most common methods used to set return expectations prior to building a portfolio. Of the three—historical averages, discounted cash flow models, and risk premia models—no single method dominated the others on average annual returns over one, three, and five-year periods. Accuracy improved as the time f...
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Performance anxiety
In our last post, we took a quick look at building a portfolio based on the historical averages method for setting return expectations. Beginning in 1987, we used the first five years of monthly return data to simulate a thousand possible portfolio weights, found the average weights that met our risk-return criteria, and then tested that weightin...
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R-bloggers
R-bloggers is a great resource. We visit the website almost every day. Shouldn’t you? Have a look https://www.r-bloggers.com/.Related To leave a comment for the author, please follow the link and comment on their blog: OSM . Want to share your content on python-bloggers? click here....
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Quantocracy
Quantocracy is a great resource for all things related to quantitative and empirical investing. We learn something every time we visit. Expand your knowledge here!Related To leave a comment for the author, please follow the link and comment on their blog: OSM . Want to share your content on python-bloggers? click here....
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Python-bloggers
Python-bloggers aggregates blogs focused on using Python’s data analysis super-power for data science, machine learning, and statistics. Brought to you by the same folks that publish the hugely popular R-bloggers, it is well worth a read. Check it out here!Related To leave a comment for the author, please follow the link and comment on their bl...
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R-bloggers
R-bloggers is a great resource. We visit the website almost every day. Shouldn’t you? Have a look https://www.r-bloggers.com/.Related To leave a comment for the author, please follow the link and comment on their blog: OSM . Want to share your content on python-bloggers? click here....
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