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What's the false positive rate, false negative rate? Does he also correctly predict when there will not be a bubble?
by kwhitefoot 6y ago
What's the false positive rate, false negative rate? Does he also correctly predict when there will not be a bubble?
- rmrfstar 6y agoHis research team publishes global equity index forecasts, monthly I believe. They also have a collection of mutual funds, whose track records you can check very easily. I recommend bench-marking against Ken French's factors [1]. [1] https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data...
- moneywoes 6y agoHow do those compare to just the spy500, I thought sector allocation didn't perform better long term.
- rmrfstar 6y agoStart with the 3 factors (market, size, value). Almost all the variance is in the market factor, which is just a cap-weighted average return for all US-listed stocks. The size factor should capture a lot of the difference between SPX (which excludes small companies) and the broad market. Also: SPX = S&P 500 index SPY = ETF tracking S&P 500 index