Here’s a rough list of what I want to look at in the near future:
- replicating Faber’s model, and improving it
- measuring idiosyncratic returns, or the degree of stock returns affected by internal factors (company news, performance, etc.), isolated from the effect of external factors (macro, sector, and other systemic factors). The type of analysis in this article by Matthew Rothman MD and Head of Quantitative Equity Strategies at Barclays (zero hedge – Alpha is dead) is what I’m talking about.
- improving and further analyzing the robustness of one of my ETF timing strategies. Currently tracking daily performance at covestor.com/troy-shu
Will post my progress, methods, code, etc. along the way.