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Video: Gianpaolo Tomasi on cross-sectional mean reversion

28. September 2023
In March 2021 we published a report introducing our cross-sectional mean reversion factor that has been traded out-of-sample since then (Bloomberg ticker: DBRPGERU). In this new report we expand on our previous work by showing how using daily returns more efficiently improves performance even when trading weekly and demonstrate how earnings dates can boost predictive power by avoiding trading against the post-earnings drift. We also introduce an approach to improve the signal using trading volume and propose a turnover control approach that can enhance capacity while preserving performance. [mehr]

Weitere Dokumente zum Thema "International"

486 (21-32)
19. Dezember 2023
22
Das Jahr 2023 wird als das Jahr in die Geschichte eingehen, in dem Künstliche Intelligenz zum Mainstream wurde. Wir stehen an der Schwelle zu einer KI-Revolution, die eine der tiefgreifendsten Entwicklungen seit Generationen sein wird. Sie wird das Produktivitätswachstum ankurbeln, das in den USA bis zum Ende des Jahrzehnts auf deutlich über 3% pro Jahr ansteigen dürfte. [mehr]
15. Dezember 2023
23
There will be varying degrees of opinion regarding the success of COP28, the first global stocktake summit after the Paris Agreement (2015). Ultimately, it was fascinating to experience the event considering the backdrop of Dubai and the leadership style of the UAE, a nation with roots in oil but a stated ambition to achieve net zero and increase its renewable energy capacity. [mehr]
5. Dezember 2023
31
It has been a brutal two years for dealmaking. Following the M&A boom of 2021, the value and volume of deals remains well below historical averages in the US and Europe. Yet, we see 2024 as a year of recovery for M&A activity, and there are three key themes we believe will catalyse it: 1. Eager buyers and valuation dislocations, 2. The need for large firms to supplement declining organic profit growth, 3. Greater certainty in the financing backdrop. [mehr]
28. November 2023
32
In our World Outlook for 2024, we outline how we’ve had a fairly consistent macro narrative over the past 2 3 years and we continue to see this as a classic policy led boom bust cycle that will culminate in a US recession. Ultimately, the impact of rapid rate hikes are yet to take effect in full, and QT is still continuing in the background. That will make early 2024 a challenging environment, and we expect a mild US recession in H1 2024. Meanwhile in the Euro Area, we think that a mild recession has already begun that will stretch into the start of 2024. [mehr]
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