Market Timing as Market Exposure
A decomposition of the Sharpe Ratio of Return Forecasts
Ahmad Koman
CBOT Corn Futures Strategy: A Bottom Up Factor Framework
From the physical corn balance sheet to standardized economic factors, contract level fair value, mispricing scores, spread trades, and risk controlled execution.
Old World vs New World in Expected Returns
From discounted cash flows and CAPM to stochastic discount factors, multidimensional bad times, and factor models.
Besides Historical Returns
Beyond historical returns: a multidimensional framework for expected returns across asset classes, strategy styles, and risk factors. Based on Anti Ilmanen
Intro
Why do this?