Strategy #0000000113 · Macro timing and asset allocation
Equity-premium timing with predictive variables
Enter forecast premium, volatility, risk aversion, exposure cap, realised-premium scenario and cash return.
Predictive regressions use dividend yields, term spreads, valuation, technical indicators and other inputs to forecast equity premia, then adjust equity allocation for risk. In-sample predictability often weakens out of sample; revisions, multiple testing, parameter instability and costs create gaps. This simulator maps a supplied premium into capped mean-variance exposure.
No predictors, regression diagnostics or out-of-sample validation are supplied; allocation is a scenario, not advice.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How do forecast premia and risk assumptions change equity exposure?
Predictive regressions use dividend yields, term spreads, valuation, technical indicators and other inputs to forecast equity premia, then adjust equity allocation for risk. In-sample predictability often weakens out of sample; revisions, multiple testing, parameter instability and costs create gaps. This simulator maps a supplied premium into capped mean-variance exposure.
Enter forecast premium, volatility, risk aversion, exposure cap, realised-premium scenario and cash return.
No predictors, regression diagnostics or out-of-sample validation are supplied; allocation is a scenario, not advice.
- Input assumptionsEnter forecast premium, volatility, risk aversion, exposure cap, realised-premium scenario and cash return.
- Model outputNo predictors, regression diagnostics or out-of-sample validation are supplied; allocation is a scenario, not advice.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
\hat w_t=clip(\frac{\hat\mu_t}{\gamma\hat\sigma_t^2},0,w_{max})
Premium and volatility are entered in percentage points; neither γ nor a forecasting model is estimated.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 樣本
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
\hat w_t=clip(\frac{\hat\mu_t}{\gamma\hat\sigma_t^2},0,w_{max})
Practical context · published observations
Equity-premium timing with predictive variables: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No predictors, regression diagnostics or out-of-sample validation are supplied; allocation is a scenario, not advice. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Model definitions, data splits and implementation costs affect results.
Compare methodology and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Predictive regressions use dividend yields, term spreads, valuation, technical indicators and other inputs to forecast equity premia, then adjust equity allocation for risk. In-sample predictability often weakens out of sample; revisions, multiple testing, parameter instability and costs create gaps. This simulator maps a supplied premium into capped mean-variance exposure. | No predictors, regression diagnostics or out-of-sample validation are supplied; allocation is a scenario, not advice. |
| Conservative version | Lower risk | Raise cost assumptions and cap exposure or search space. | May reduce model adaptability. |
| Validation version | Out-of-sample test | Freeze rules before evaluating untouched data. | Needs more data and governance. |
No predictors, regression diagnostics or out-of-sample validation are supplied; allocation is a scenario, not advice.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.