[PDF][PDF] Addition by Subtraction: A Better Way to Forecast Factor Returns (and Everything Else)
M Czasonis, M Kritzman… - The Journal of …, 2020 - globalmarkets.statestreet.com
Financial analysts assume that the reliability of predictions derived from regression analysis
improves with sample size. This is thought to be true because larger samples tend to …
improves with sample size. This is thought to be true because larger samples tend to …
Relevance-Based Prediction: A Transparent and Adaptive Alternative to Machine Learning.
M Czasonis, M Kritzman… - Journal of Financial …, 2023 - search.ebscohost.com
The authors describe a new prediction system based on relevance, which gives a mathematically
precise measure of the importance of an observation to forming a prediction, as well as …
precise measure of the importance of an observation to forming a prediction, as well as …
Carry On
M Czasonis, B Pamir… - The Journal of Alternative …, 2019 - jai.pm-research.com
The carry trade in foreign currencies is known for delivering positive returns, on average,
and for occasionally suffering large losses. While these characteristics prevail, on average, …
and for occasionally suffering large losses. While these characteristics prevail, on average, …
Income convergence in Europe: Catching up or falling behind?
M Czasonis, M Quinn - Acta Oeconomica, 2012 - akjournals.com
One of the motivations for a country to join the European Union is the belief that this will
boost short- and long-run incomes. Researchers have tested the hypothesis of income …
boost short- and long-run incomes. Researchers have tested the hypothesis of income …
The Stock-Bond Correlation
M Czasonis, M Kritzman… - The Journal of Portfolio …, 2020 - jpm.pm-research.com
Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal
portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock–…
portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock–…
[PDF][PDF] Facts about factors
P Cocoma, M Czasonis… - The Journal of …, 2017 - uat-globalmarkets.statestreet.com
It is becoming increasingly common for investors to stratify portfolios into factors rather than
assets. This approach may be advantageous for a variety of reasons. For example, certain …
assets. This approach may be advantageous for a variety of reasons. For example, certain …
[BOOK][B] Enhanced scenario analysis
M Czasonis, M Kritzman, B Pamir, D Turkington - 2019 - uat-globalmarkets.statestreet.com
Investors have long relied on scenario analysis as an alternative to mean–variance analysis
to help them construct portfolios. Even though mean–variance analysis accounts for all …
to help them construct portfolios. Even though mean–variance analysis accounts for all …
Relevance
M Czasonis, M Kritzman… - Czasonis, M., M. Kritzman …, 2022 - papers.ssrn.com
The authors describe a new statistical concept called relevance from a conceptual and
mathematical perspective, and based on their mathematical framework, they present a unified …
mathematical perspective, and based on their mathematical framework, they present a unified …
[PDF][PDF] An Intuitive Guide to Relevance-Based Prediction
M Czasonis, M Kritzman… - The Journal of …, 2023 - uat-globalmarkets.statestreet.com
Relevance-based prediction is a new approach to data-driven forecasting that serves as a
favorable alternative to both linear regression analysis and machine learning. It follows from …
favorable alternative to both linear regression analysis and machine learning. It follows from …
[BOOK][B] Private equity and the leverage myth
M Czasonis, W Kinlaw, M Kritzman, D Turkington - 2020 - uat-globalmarkets.statestreet.com
Investors have traditionally relied on mean-variance analysis to determine a portfolio’s
optimal asset mix, but they have struggled to incorporate private equity into this framework …
optimal asset mix, but they have struggled to incorporate private equity into this framework …