Of all the statistical anomalies to come out of this bizarre season, few are as astonishing as Tommy La Stella's walk-to-strikeout ratio, which has been downright Bonds-ian in 2020. Thanks to a marked improvement in histwo-strike whiff rate, La Stella, who has always been difficult to s...
where SMBt is a size effect (small-minus-big), and HMLt is a value premium (high-minus-low). This model will continue to be marked as FF3. The four-factor model [26], in addition to the previously mentioned factors, takes into account a momentum premium (WML, winners-minus-losers),...
Equally, if there’s a ragingbull market, the utility firm will benefit from the general upswing in demand. But it’s unlikely to get as big a bounce as the car company with its new line of robot-chauffeured roadsters. The upshot is that low volatility strategies tend to underperform dur...
Miners were the big disappointment during this C-wave. More than likely they will be the big winners of the next one. Especially if they get taken out to the woodshed and beaten to a pulp during the D-wave. So until I see how this unfolds I can’t say for sure where we will inves...