Download PDF Introduction In this article, we determine whether recurrent neural networks can unlock any meaningful predictive power from a given feature set in forecasting corporate bond returns – or if the data is too noisy to yield reliable predictions. We explore whether these forecasts can be leveraged into building Read more…
Download PDF Introduction As announced in our previous episode, the second article in our Backtesting series will discuss Cross Validation and introduce a new Backtesting strategy, first presented by Giuseppe Paleologo (2024). If you haven’t already, we recommend reading the first episode before proceeding with this article. Please note that Read more…
Download PDF A Match made in Heaven In this article, we aim to integrate the momentum and carry factors to devise a strategy that enhances risk-adjusted returns. The underlying concept is straightforward. We seek to avoid positions with negative carry. Even with a momentum signal prompting us to go long Read more…
Download PDF Introduction Global macro strategies, which aim to profit from economic and political trends across markets and asset classes, have been a staple of the investment world for decades. In recent times, these strategies have gained in popularity as investors seek to diversify their portfolios and take advantage of Read more…