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starting on PEAD (post earnings announcement drift) analysis

I decided to start on my PEAD project, which is to semi-replicate the analysis in the research paper “The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises”. One of the things the researchers do in that paper is construct a multiple regression of 1 year, 2 year, and 3 year returns on earnings surprise %, beta, market cap, momentum, accruals, ...
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performance of the ETFRot strategy

ETFRot is an ETF rotation strategy that I’ve been working on for a while now (almost a year). Essentially it uses a couple of momentum and volatility indicators to rank ETFs in a basket spanning across asset classes, and then trades the top ranked ETF. When the top ranked ETF changes, it “rotates” into the the new one. Simple logic, ...
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TSLA, Covestor, and potential new project

I saw yet another article on Tesla Motors’ (TSLA) expansion. This time it was about Panasonic’s $30 million investment in Tesla. A few months ago Toyota invested $50 million; last month they inked a partnership with Tesla to use their all-electric powertrains in the new EV RAV4. Daimler has also invested heavily in Tesla’s technology.  Right now, Tesla is burning money ...
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R Faber model trade stats

cagr 0.07370385 0.04863027 volat 0.06720597 0.15948145 sharpe 1.09668602 0.30492742 maxdd 0.11335030 0.56876409 1st column is using the market timing mechanism mentioned on Faber’s paper, 2nd column is simple buy and hold on the S&P. Sharpe is calculated with a risk free rate of 0%. Looks like it trounced B&H; however, there’s still room for improvement. Eg the B&H Sharpe on ...
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Faber model replicated using R

Green is the equity line of the standard 20% allocation, 5 indices Faber model. Yellow is the equity line of buying and holding the S&P 500. Also included is the drawdown series for the Faber model. Will post CAGR, Sharpe, and other statistics soon. ...
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Basic trade stats done for Faber model, indices in isolation

In general, use of the 10 week SMA timing system improved returns relative to volatility (measured by Sharpe) and max drawdown over the same stats for buying and holding the same index. There were some discrepancies in the stats that I produced with R and the ones that Faber claimed in his paper. Especially in the trade stats for trading the ...
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