There was news regarding how the Star Wars failed to wake up the force on Wall Street for Disney. We have a simple answer for that. Even before the release of Star Wars on Dec 18, the Jiseki Ranking was above 80 for Disney. This meant that the force was already with Disney from July […]
Read the paper on SSRN Abstract: John Rae’s inter-temporal choices explained the statistical nature of human behavior in 1834. However, despite the subject’s insight in the objectiveness of behavior, inter-temporal choices remains a peripheral science. This paper takes a sequential approach to question how inter-temporal choices could be behind human behavior, behavioral anomalies and even […]
Abstract There is no disagreement regarding the statistics of mean reversion. What goes up comes down and vice versa. Campbell and Shiller (1988) said that the simple theory of mean reversion was basically right. Fama and French (1989) also suggest that valuation ratios forecast five-year returns with quantifiable accuracy. It is the failure of reversion […]
Abstract Though ‘Size’ is the most important factor explaining stock market returns, the possibility of size being a proxy was first mentioned in Banz (1978). Even after forty years of factor investing the industry is still looking for answers. This paper chronologically lists the research on ‘Size’ and why the question regarding ‘The Size Proxy’ […]
Marina Ferenț-Pipaș, Data Scientist marina.ferent@orpheusindices.com Mean Reversion Mean reversion has been the corner-stone in differentiating the random from the non-random behavior. Stationarity is used to identify mean reversion in a time series. A critical role in classical time series analysis is played by the concept of stationary processes. Stationary processes are easier to be modeled […]
In finance, arbitrage is an essential framework to understand asset pricing. However, the study of anomalies also called as premiums, which are not arbitrageable has led to a debate regarding whether markets are efficient in correcting price imbalances or is inefficiency a reality. This is why the Economics Nobel prize 2013 was awarded to both the behavioral […]
We are verrrry excited to see the new tables from Tralio. Thet are totally automated, awesome numbers, can’t wait to release the first 10 portfolios. They will be India50, India100, US500, US100, Canada60, Canada100, Europe50, UK100, Romania10. Any thoughts which equity portfolio should be the tenth one? Below is the RMI US 500 against the […]
Dacian Jurj dacian.jurj@orpheusindices.com Do you run an active model or your allocation is with a money manager who manages your money actively? Are you cash? Since when are you cash? How much of your model is cash? If you don’t have a clue of what I am talking about. Let me explain. Active models […]