book August 7, 2014
tcre July 30, 2014
scoreboard May 11, 2014
yellen May 9, 2014

Forecasting Stock Market Strength Using Federal Reserve Data

May 9, 2014


Lucena's macro economic model for market strength.

It is clear, in hindsight, that investors would have done better in 2008 if they had known to move from stocks to fixed income at the beginning of 2008. And similarly, if we could anticipate future bull markets we’d like to be able to shift assets into equities beforehand. Is it possible to anticipate these […]

What is “Slippage?”

January 20, 2014



Most back testing frameworks model slippage. It is worth knowing what it is.

Asymmetric Beta: A Clue to Low Volatility Outperformance

January 8, 2014


Our low volatility mascot.

Low volatility stocks and ETFs seem to perform better than they ought to.  In recent years they have provided similar returns to the overall market, but with lower risk. This phenomenon is referred to as “the low volatility anomaly.”  We take a statistical look at the question to see if we can find clues to […]


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