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sld434

Steven Downey

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Forecasting using ARIMA for Euro Inflation
Using the Auto ARIMA function from forecast package looking ahead into Euro Area Inflation. Data from FRED
Autocorrelation of Quarterly USA GDP (Annualized)
The blue lines indicate statistical significance at the 95% level. The previous two quarters you see correlation but beyond that, there is no correlation.
Target Vol 16% performance chart
see the previous pic for details
Risk and Return Stats for Target Vol 16%
Using Kenneth French Data from July 1st, 1926 to July 31st, 2018 conducted a backtest on a target vol strategy, using target vol of 16%, average a 20-140 day (20-day increments) rolling window of vol, and a 15bps transaction costs
SP Earnings 1925 - 1940
SP Earnings 1940 -1955
SP Earnings 1955 -1975
Italy is Stressed Out!
USA Stock market performance during recessions
Below is a composite chart of the US stock market performance 1 year before through 1 year after all US recessions (markets tend to peak before a recession and bottom before the end of a recession so I wanted to see the complete picture) starting with the big one in 1929. All recessions are different, have different drivers, but on average experience a loss of 35%. (Data Source: Kenneth French Library; calculations my own)
CB LEI components
Favorite leading Indicators
Histogram of USA Equity Returns from 1800 - 2018
Data Source: GFD
My Preferred Leading Indicators for USA Economy
These plots show my preferred and those that have been shown to be statistically significant in forecasting a recession 6 - 18 months out.
Simple Trendfollowing vs. Buy and Hold
Using a simple 200 day simple moving average strategy (invested in US equities or cash fully) and a simple buy and hold of US equities from Fama French Data
Yale Market Confidence Surveys
The four main surveys conducted, originally by Robert Shiller, about individuals and institutional expectations of the market
Total Wage Growth and Change
I believe it was Ed Yardeni who mentioned he loooked at hourly wage x hours weekly worked x workers to get gross wages as a good economic barometer
Unemployment Rate Heat Map
Source: BLS
Credit Conditions in the USA
Taking four different data types to intuit whether credit is tight or open and thus indicating where we are at in the credit cycle
YTD performance of major assets classes via ETF and MF up to 09.11.18
performance of asset classes via adjusted fund prices
Germany Has Been a Painful Place for Stock Investors
Top 10 Drawdowns calculated via month end total returns for the German stock index. Datasource: Global Financial Data
Conference Board Leading Economic Indicator Components ex-Leading Credit Index
9 out of the 10 components of the LEI are here and visually you can get a feel what is driving or subtracting from the economy
YTD Performance of US Sectors through 05.10.18
Using the SPDR Sector ETFs I have shown total year to date performance
The Best and Worst Returns Happen in Highly Volatile Environments for US equities
Rolling 3 year returns and volatility plotted to show how the ideal environment for compound investment growth is low volatility for US equities.
Historical Daily Returns and Visualizing Volatility for USA Stock Market
You can see the daily returns are magnified during the Great Depression, WWII, The Great Recession and few other episodes. This shows how there can be volatility clustering and avoiding those episodes can help you avoid the painful effect of huge negative and positive returns geometrically compounding your way to the poor house
List of All Bear Markets in US Stock Market Since 1926
Below is a list of all the bear markets (20% loss or more) in ranking order in the US stock market since 1926 from the Kenneth French website. All of these bear markets, except 1987, 1946, 1961, 1998, 1966 episodes, occurred leading up to or in a recession (8 out of 13) from NBER. One interesting observation is how it usually takes 1.5x - 2x the amount of time to get back to even (Recovery in days) then it takes to plummet to the bottom (To Trough in days).
Fama French Factor Performance Rolling 5 Year (Annualized)
From 1926 (1927 for Momentum) the rolling 5-year performance of the long-short factors from Kenneth French website. Interesting to see the volatility in factor returns over a 5 year period.
What is Driving US Large Cap Equities YTD?
Using the SPDR Select Sector ETFs I have assessed what is driving the total return for the US Large Caps YTD.
YTD performance of major assets classes via ETF and MF
Showing YTD total return performance of major asset classes and some of my preferred alternative strategies
Correlation Plot for Major Asset Classes 2004 - 2018
Source - Bloomberg. This is a quick visualization showing how CTA Trend Following and US Treasuries add diversification to a portfolio with their low correlations.
Value At Risk Measures using 60/40 US Stock/Bond Portfolio
Using data from January 1836 - June 2018 this chart shows at different confidence levels the monthly Value at Risk for a 60/40 portfolio.
Turkey Stock Market
Returns since 1986 for Turkish Stock Market
Turkish Stock Market Returns in Lira (Nominal and Real) and in USD
Correlation Between Change in Gold Price and Real Interest Rates
From 1982 there was a high negative correlation that is stat sign. for Gold price change and real interest rates (3 month tbill - CPI)
Historical Drawdown for US Bonds and Tbills 1790 - 2018
You can see how inflation can be the silent killer of returns from these "safe assets"