Efficient global portfolios: Big data and investment universes

Guerard, John B.; Rachev, Svetlozar T.; Shao, Barret Pengyuan

doi:10.1142/9789811222634_0016

Cited by 30 publications

(4 citation statements)

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“…Expanding on the work of Fama and French (1992, 1995, 2018) and Guerard Jr. and Mark (), Guerard Jr, Xu, and Gultekin () create a 10‐factor stock selection model for the U.S. expected returns that includes price momentum—the USER model . Guerard Jr, Rachev, and Shao () and Guerard Jr. and Mark () apply a 10‐factor model to global stocks, referring to the model as GLER (GLobal Equity Return), or REG10 (see Equation 2).

{TR}_{t + 1} = a_{0} + a_{1} {EP}_{t} + a_{2} {BP}_{t} + a_{3} {CP}_{t} + a_{4} {SP}_{t} + a_{5} {REP}_{t} + a_{6} {RBP}_{t} + a_{7} {RCP}_{t} + a_{8} {RSP}_{t} + a_{9} {CTEF}_{t} + a_{10} {PM}_{t} + e_{t},

where:…”

Section: What We Knew In 2002 and 2012: Tests Of Fundamental Expectamentioning

confidence: 99%

“…In the 1980s, a commercially available statistical risk model, Advanced Portfolio Technologies (APT), was developed by John Blin and Steven Bender and was documented in Blin et al () and Guerard Jr et al (). Another commercially available risk model is the Axioma Risk Model .…”

Section: Markowitz Risk Modeling and Axioma Risk Models: Constructingmentioning

confidence: 99%

“…stocks. Have markets and stock selection models changed since Guerard Jr. and Mark () and Guerard Jr et al () published their studies? No, CTEF and REG10 still dominate most other models, including the 36 models tested in Guerard Jr. et al (), including the post‐Global Financial Crisis.…”

Section: Summary and Conclusion And A Look To The Futurementioning

confidence: 99%

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The existence and persistence of financial anomalies: What have you done for me lately?

Guerard

Markowitz²

2018

Fin Plan Rev

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The purpose of this study is to document the existence, persistence, and effectiveness of publicly available variables linked to financial anomalies during the 1979–1999 time period with particular emphasis on earnings forecasts. It then tests whether these variables have held up through the 2003–2017 time period. We report three results: (a) many of the reported financial anomalies published in the 1979–1999 time period maintain their statistically significant active (or excess) returns; (b) the anomalies are larger in non‐U.S. markets than in the U.S.; and (c) reasonable transactions costs do not destroy the excess returns.

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{TR}_{t + 1} = a_{0} + a_{1} {EP}_{t} + a_{2} {BP}_{t} + a_{3} {CP}_{t} + a_{4} {SP}_{t} + a_{5} {REP}_{t} + a_{6} {RBP}_{t} + a_{7} {RCP}_{t} + a_{8} {RSP}_{t} + a_{9} {CTEF}_{t} + a_{10} {PM}_{t} + e_{t},

where:…”

Section: What We Knew In 2002 and 2012: Tests Of Fundamental Expectamentioning

confidence: 99%

Section: Markowitz Risk Modeling and Axioma Risk Models: Constructingmentioning

confidence: 99%

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The existence and persistence of financial anomalies: What have you done for me lately?

Guerard

Markowitz²

2018

Fin Plan Rev

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“…The study by Easton et al (1992) found a strong correlation between earnings and stock returns, especially when considering longer term horizons. Bloch et al (1993), Haugen and Baker (2010) and Guerard et al (2013) show that the use of value ratios such as the Cash-Flow to Price or the Sales to Price ratio have predictive power for stock returns in their cross-sectional analysis.…”

Section: Predictor Variablesmentioning

confidence: 99%

Forecast Ranked Tailored Equity Portfolios

Bunčić

2018

SSRN Journal

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We use a dynamic model averaging (DMA) approach to construct forecasts of individual equity returns for a large cross-section of stocks contained in the SP500, FTSE100, DAX30, CAC40 and SPX30 headline indices, taking value, momentum, and quality factors as predictor variables. Fixing the set of 'forgetting factors' in the DMA prediction framework, we show that highly significant return forecasts relative to the historic average benchmark are obtained for 173 (281) individual equities at the 1% (5%) level, from a total of 895 stocks. These statistical forecast improvements also translate into considerable economic gains, producing out-of-sample R 2 values above 5% (10%) for 283 (166) of the 895 individual stocks. Equally weighted long only portfolios constructed from a ranking of the best 25% forecasts in each headline index can generate sizable returns in excess of a passive investment strategy in that index itself, even when transaction costs and risk taking are accounted for.

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