A single value to measure equity market correlation

There exists a vast amount of studies that show an increase in correlation between global equity indices during bear markets and propose ways to measure/forecast this correlation (see for example Campbell, Koedjik and Kofman or Capiello, Engle and Sheppard, and many, many more). These studies differ greatly in their methodologies and complexities but they more or less all show … Continue reading A single value to measure equity market correlation


Risk Premia Market Timing?

Here it goes, finally a strategy backtest (sort of) on this blog (what an intro). In their 1973 paper "Risk, Return and Equilibrium: Empirical Tests", Fama and MacBeth introduce a method for estimating betas and risk premia for any risk factors that determine asset prices. Under the assumption that the only common risk factor that … Continue reading Risk Premia Market Timing?