The Single Greatest Predictor of Future Stock Market Returns, Ten Years After
In his 2013 post The Single Greatest Predictor of Future Stock Market Returns, Jesse Livermore1 from the blog Philosophical Economics introduced an indicato...
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The Gerber Statistic: A Robust Co-Movement Measure for Correlation Matrix Estimation
The Gerber statistic is a measure of co-movement similar in spirit to the Kendall’s Tau coefficient that has been introduced in Gerber et al.1 to estimate c...
Corrected Cornish-Fisher Expansion: Improving the Accuracy of Modified Value-at-Risk
Modified Value-at-Risk (mVaR) is a parametric approach to computing Value-at-Risk introduced by Zangari1 that adjusts Gaussian Value-at-Risk for asymmetry a...
The Mathematics of Bonds: Simulating the Returns of Constant Maturity Government Bond ETFs
With more than $1.2 trillion under management in the U.S. as of mid-July 20221, investors are more and more using bond ETFs as building blocks in their asset...
The Turbulence Index: Regime-based Partitioning of Asset Returns
The turbulence index, introduced in the previous blog post, is a measure of statistical unusualness of asset returns popularized by Kritzman and Li1. It pro...