Do you guys part of your price-based statistical worked coupled with starting levels of fundamentals like "starting net margins of SPX when signal triggered" or "starting level of CPI" or "starting level of 10y UST Yields" or something like that?
I ask because it's been a 30+ yrs of a downtrend in inflation -> yields and, in case we're onto a paradigm shift it'd be great to compare the stats with other periods in same environment.
Yes, then work to gauge in which market environment we are is very useful.
In multi-factor signals we will use fundamental inputs to isolate "regimes" where we feel the signals are not necessarily representative of the historical comparisons we are trying to make. The issue with adding more parameters is often that one loses the number of signals significantly.
Avoiding drawdowns is fundamental for outperformance over long periods of time both numerically and psychologically speaking.
So I wonder what the trade off is between fewer signals and potentially better signals. Last 30-40 years were crazy for US assets, be them large-cap equities, growth equities and long-duration fixed income.
Considering the starting point with regard to indebtedness, political unity and the wealth divide.. it's could be way, way different.
Do you guys part of your price-based statistical worked coupled with starting levels of fundamentals like "starting net margins of SPX when signal triggered" or "starting level of CPI" or "starting level of 10y UST Yields" or something like that?
I ask because it's been a 30+ yrs of a downtrend in inflation -> yields and, in case we're onto a paradigm shift it'd be great to compare the stats with other periods in same environment.
Yes, then work to gauge in which market environment we are is very useful.
In multi-factor signals we will use fundamental inputs to isolate "regimes" where we feel the signals are not necessarily representative of the historical comparisons we are trying to make. The issue with adding more parameters is often that one loses the number of signals significantly.
"Regime" as input is key, is it not?
Avoiding drawdowns is fundamental for outperformance over long periods of time both numerically and psychologically speaking.
So I wonder what the trade off is between fewer signals and potentially better signals. Last 30-40 years were crazy for US assets, be them large-cap equities, growth equities and long-duration fixed income.
Considering the starting point with regard to indebtedness, political unity and the wealth divide.. it's could be way, way different.