Solution - Forecasting SPY

Solution - Forecasting SPY#

# Output from previous execution
  DP EP CAPE BP T10YR CREDIT VIX TSPREAD
date                
1993-02-28 00:00:00 2.8 4.1 15.8 42.6 6.0 221.0 13.2 3.0
1993-03-31 00:00:00 2.8 4.7 16.0 35.2 6.0 218.6 12.5 3.1
1993-04-30 00:00:00 2.9 4.0 15.6 39.2 6.0 216.1 12.4 3.1
1993-05-31 00:00:00 2.8 3.2 16.3 38.7 6.1 211.1 13.5 3.0
1993-06-30 00:00:00 2.8 3.1 16.2 38.7 5.8 218.4 11.3 2.7
1993-07-31 00:00:00 2.8 3.2 16.0 38.9 5.8 210.3 11.7 2.7
1993-08-31 00:00:00 2.7 2.7 16.7 37.8 5.4 191.2 11.8 2.4
1993-09-30 00:00:00 2.8 2.7 16.2 38.1 5.4 201.8 13.0 2.4
1993-10-31 00:00:00 2.7 2.7 16.7 37.5 5.4 196.3 11.5 2.3
1993-11-30 00:00:00 2.7 3.1 16.9 38.8 5.8 192.1 13.8 2.6
1993-12-31 00:00:00 2.7 3.1 17.1 38.4 5.8 197.6 11.7 2.7
1994-01-31 00:00:00 2.6 2.9 16.3 37.1 5.6 190.8 10.6 2.6
1994-02-28 00:00:00 2.7 3.1 15.8 38.4 6.1 179.1 14.9 2.7
1994-03-31 00:00:00 2.9 3.2 15.2 40.2 6.7 162.2 20.4 3.2
1994-04-30 00:00:00 2.8 4.8 15.3 40.2 7.0 149.8 13.8 3.1
1994-05-31 00:00:00 2.8 4.9 15.5 40.1 7.1 153.3 13.0 2.9
1994-06-30 00:00:00 2.8 5.1 15.3 41.2 7.3 154.0 15.0 3.1
1994-07-31 00:00:00 2.8 4.9 15.7 40.0 7.1 149.9 11.1 2.8
1994-08-31 00:00:00 2.7 5.5 16.3 39.1 7.2 156.7 12.0 2.5
1994-09-30 00:00:00 2.8 5.6 15.8 40.1 7.6 151.7 14.3 2.8
1994-10-31 00:00:00 2.7 5.4 16.1 39.3 7.8 140.3 14.6 2.7
1994-11-30 00:00:00 2.8 6.1 15.6 41.9 7.9 130.4 15.9 2.2
1994-12-31 00:00:00 2.8 6.0 15.8 41.4 7.8 131.8 13.2 2.1
1995-01-31 00:00:00 2.8 6.0 15.4 40.5 7.6 134.9 12.0 1.6
1995-02-28 00:00:00 2.7 5.7 15.9 39.1 7.2 154.9 11.8 1.3
1995-03-31 00:00:00 2.6 6.0 16.4 35.9 7.2 149.4 13.4 1.3
1995-04-30 00:00:00 2.5 6.5 16.9 39.0 7.1 152.5 11.8 1.2
1995-05-31 00:00:00 2.5 6.2 17.4 37.9 6.3 167.6 12.8 0.5
1995-06-30 00:00:00 2.4 6.1 17.8 37.1 6.2 174.7 11.4 0.6
1995-07-31 00:00:00 2.4 5.9 18.3 35.8 6.4 174.4 13.5 0.8
1995-08-31 00:00:00 2.4 6.3 18.2 37.3 6.3 172.6 11.5 0.8
1995-09-30 00:00:00 2.3 6.0 18.9 35.7 6.2 169.8 12.7 0.8
1995-10-31 00:00:00 2.3 6.0 18.9 35.8 6.0 171.0 13.8 0.5
1995-11-30 00:00:00 2.3 5.8 19.6 35.1 5.7 182.9 11.6 0.3
1995-12-31 00:00:00 2.2 5.7 19.9 34.6 5.6 180.8 12.5 0.5
1996-01-31 00:00:00 2.2 5.5 19.6 33.4 5.6 184.0 12.5 0.5
1996-02-29 00:00:00 2.2 5.5 19.7 33.2 6.1 181.2 17.0 1.1
1996-03-31 00:00:00 2.2 5.3 20.0 32.7 6.3 179.3 18.9 1.2
1996-04-30 00:00:00 2.2 5.3 20.3 32.6 6.7 160.0 15.8 1.5
1996-05-31 00:00:00 2.1 5.1 20.8 32.8 6.9 147.8 16.1 1.7
1996-06-30 00:00:00 2.1 5.1 20.9 32.7 6.7 152.9 13.7 1.6
1996-07-31 00:00:00 2.2 5.4 19.9 34.2 6.8 150.6 19.5 1.5
1996-08-31 00:00:00 2.2 5.6 20.4 34.8 6.9 149.7 17.0 1.7
1996-09-30 00:00:00 2.1 5.3 21.6 32.8 6.7 151.7 16.9 1.7
1996-10-31 00:00:00 2.1 5.1 22.5 31.9 6.3 157.1 18.1 1.2
1996-11-30 00:00:00 1.9 5.1 24.0 30.4 6.0 164.9 17.1 0.9
1996-12-31 00:00:00 2.0 5.2 23.3 31.0 6.4 155.2 20.9 1.2
1997-01-31 00:00:00 1.8 4.9 23.2 29.2 6.5 153.6 19.5 1.3
1997-02-28 00:00:00 1.9 4.8 23.2 29.0 6.6 149.8 21.1 1.3
1997-03-31 00:00:00 1.9 5.6 22.2 31.9 6.9 141.7 22.1 1.6
1997-04-30 00:00:00 1.8 5.2 23.6 30.3 6.7 150.2 20.1 1.5
1997-05-31 00:00:00 1.8 6.5 25.0 28.6 6.7 152.1 19.2 1.7
1997-06-30 00:00:00 1.7 9.4 25.8 27.5 6.5 151.0 21.5 1.3
1997-07-31 00:00:00 1.6 8.7 27.7 25.4 6.0 154.9 21.5 0.8
1997-08-31 00:00:00 1.7 9.1 26.1 27.8 6.3 144.1 24.8 1.1
1997-09-30 00:00:00 1.6 8.5 27.4 26.5 6.1 155.7 22.9 1.0
1997-10-31 00:00:00 1.7 8.8 26.4 27.4 5.8 160.9 35.1 0.6
1997-11-30 00:00:00 1.6 10.1 27.6 27.0 5.9 150.6 27.4 0.7
1997-12-31 00:00:00 1.6 9.9 27.8 26.5 5.7 153.8 24.0 0.4
1998-01-31 00:00:00 1.6 9.7 26.6 26.2 5.5 170.5 21.5 0.3
1998-02-28 00:00:00 1.5 9.1 28.3 24.4 5.6 166.8 18.6 0.3
1998-03-31 00:00:00 1.4 4.9 29.7 24.0 5.7 168.6 24.2 0.5
1998-04-30 00:00:00 1.4 4.9 30.1 23.8 5.7 166.9 21.2 0.7
1998-05-31 00:00:00 1.4 6.5 29.7 24.0 5.6 163.8 21.3 0.5
1998-06-30 00:00:00 1.4 6.2 30.8 23.1 5.4 166.4 19.7 0.4
1998-07-31 00:00:00 1.4 6.3 30.0 23.3 5.5 171.6 24.8 0.4
1998-08-31 00:00:00 1.6 4.8 26.0 28.1 5.0 213.4 44.3 0.2
1998-09-30 00:00:00 1.6 4.5 27.6 26.3 4.4 259.0 41.0 0.1
1998-10-31 00:00:00 1.4 4.2 29.9 24.3 4.6 268.5 28.1 0.3
1998-11-30 00:00:00 1.4 3.9 31.7 24.1 4.7 247.6 26.0 0.2
1998-12-31 00:00:00 1.3 3.7 33.5 22.8 4.6 258.2 24.4 0.2
1999-01-31 00:00:00 1.2 3.5 32.8 21.9 4.7 255.9 26.2 0.2
1999-02-28 00:00:00 1.3 3.6 31.5 22.4 5.3 224.3 27.9 0.6
1999-03-31 00:00:00 1.2 3.6 32.3 22.1 5.2 231.8 23.3 0.8
1999-04-30 00:00:00 1.2 3.5 33.0 21.0 5.3 223.2 25.1 0.8
1999-05-31 00:00:00 1.2 3.7 32.3 22.7 5.6 220.0 25.4 1.0
1999-06-30 00:00:00 1.2 3.5 33.9 21.6 5.8 221.0 21.1 1.0
1999-07-31 00:00:00 1.2 3.6 33.0 22.2 5.9 220.7 24.6 1.2
1999-08-31 00:00:00 1.2 3.8 33.0 22.6 6.0 224.0 24.4 1.0
1999-09-30 00:00:00 1.3 3.9 31.9 23.2 5.9 232.3 25.4 1.0
1999-10-31 00:00:00 1.2 3.6 33.5 21.8 6.0 227.6 22.2 0.9
1999-11-30 00:00:00 1.2 3.7 34.3 22.1 6.2 197.9 24.2 0.9
1999-12-31 00:00:00 1.1 3.5 36.5 20.8 6.4 173.8 24.6 1.1
2000-01-31 00:00:00 1.2 3.7 32.7 21.9 6.7 169.5 24.9 1.0
2000-02-29 00:00:00 1.2 4.0 31.9 21.9 6.4 192.1 23.4 0.6
2000-03-31 00:00:00 1.1 3.8 35.3 21.9 6.0 232.6 24.1 0.1
2000-04-30 00:00:00 1.1 3.9 34.7 22.5 6.2 235.8 26.2 0.4
2000-05-31 00:00:00 1.1 4.3 33.9 23.7 6.3 253.8 23.6 0.7
2000-06-30 00:00:00 1.1 4.2 35.0 23.2 6.0 239.9 19.5 0.2
2000-07-31 00:00:00 1.1 4.2 35.1 23.5 6.0 227.9 20.7 -0.2
2000-08-31 00:00:00 1.1 4.1 36.9 22.5 5.7 251.5 16.8 -0.6
2000-09-30 00:00:00 1.1 4.2 35.3 23.4 5.8 253.8 20.6 -0.4
2000-10-31 00:00:00 1.1 4.2 35.5 23.5 5.8 257.9 23.6 -0.6
2000-11-30 00:00:00 1.2 4.6 33.0 25.7 5.5 265.2 29.6 -0.7
2000-12-31 00:00:00 1.2 4.6 33.2 25.7 5.1 288.8 26.9 -0.8
2001-01-31 00:00:00 1.2 4.5 31.1 24.7 5.1 269.6 22.0 0.1
2001-02-28 00:00:00 1.3 4.5 28.5 27.0 4.9 290.4 28.4 0.0
2001-03-31 00:00:00 1.4 4.9 26.8 28.5 4.9 305.3 28.6 0.6
2001-04-30 00:00:00 1.3 4.6 28.8 26.8 5.3 274.2 25.5 1.5
2001-05-31 00:00:00 1.2 4.2 29.0 27.9 5.4 269.9 22.6 1.8
2001-06-30 00:00:00 1.3 4.3 28.2 28.7 5.4 265.8 19.1 1.8
2001-07-31 00:00:00 1.3 4.4 28.2 28.9 5.1 279.6 21.6 1.5
2001-08-31 00:00:00 1.4 4.4 26.6 31.6 4.8 291.8 24.9 1.5
2001-09-30 00:00:00 1.5 4.8 24.6 34.3 4.6 343.2 31.9 2.2
2001-10-31 00:00:00 1.5 4.7 24.3 33.6 4.2 344.8 33.6 2.2
2001-11-30 00:00:00 1.4 4.0 26.1 30.0 4.8 312.8 23.8 3.0
2001-12-31 00:00:00 1.4 4.0 26.1 30.1 5.1 286.9 23.8 3.3
2002-01-31 00:00:00 1.4 3.9 24.0 30.6 5.0 288.7 21.1 3.3
2002-02-28 00:00:00 1.4 4.0 23.6 31.1 4.9 298.3 21.6 3.1
2002-03-31 00:00:00 1.4 3.8 24.4 30.4 5.4 283.0 17.4 3.6
2002-04-30 00:00:00 1.4 4.1 22.9 32.6 5.1 286.5 21.9 3.3
2002-05-31 00:00:00 1.5 3.8 22.6 32.4 5.0 301.7 20.0 3.3
2002-06-30 00:00:00 1.6 4.1 21.0 35.0 4.8 319.4 25.4 3.1
2002-07-31 00:00:00 1.7 4.4 19.6 37.8 4.5 330.1 32.0 2.8
2002-08-31 00:00:00 1.7 4.9 19.6 37.2 4.1 331.9 32.6 2.5
2002-09-30 00:00:00 1.9 5.4 17.4 41.5 3.6 379.6 39.7 2.0
2002-10-31 00:00:00 1.8 5.0 18.8 38.9 3.9 385.8 31.1 2.4
2002-11-30 00:00:00 1.7 5.0 20.4 36.2 4.2 339.5 27.5 3.0
2002-12-31 00:00:00 1.8 5.1 19.1 38.8 3.8 349.4 28.6 2.6
2003-01-31 00:00:00 1.8 5.3 17.6 39.9 4.0 319.8 31.2 2.8
2003-02-28 00:00:00 1.9 5.2 17.2 40.6 3.7 323.0 29.6 2.5
2003-03-31 00:00:00 1.9 6.9 17.4 39.7 3.8 307.4 29.1 2.7
2003-04-30 00:00:00 1.8 6.3 18.7 36.0 3.8 281.4 21.2 2.7
2003-05-31 00:00:00 1.7 4.7 19.6 35.4 3.4 285.0 19.5 2.3
2003-06-30 00:00:00 1.7 4.7 19.8 35.0 3.5 283.7 19.5 2.7
2003-07-31 00:00:00 1.7 4.6 20.0 34.2 4.4 266.4 19.5 3.5
2003-08-31 00:00:00 1.6 4.6 20.4 35.6 4.5 244.6 18.6 3.5
2003-09-30 00:00:00 1.7 4.6 20.2 35.9 3.9 259.2 22.7 3.0
2003-10-31 00:00:00 1.6 4.3 21.2 33.9 4.3 239.7 16.1 3.3
2003-11-30 00:00:00 1.6 4.6 21.4 34.5 4.3 233.8 16.3 3.4
2003-12-31 00:00:00 1.6 4.3 22.2 32.8 4.2 236.4 18.3 3.3
2004-01-31 00:00:00 1.5 4.6 21.2 32.2 4.1 221.8 16.6 3.2
2004-02-29 00:00:00 1.5 5.1 21.4 31.8 4.0 222.9 14.6 3.0
2004-03-31 00:00:00 1.6 5.1 21.0 33.4 3.8 231.5 16.7 2.9
2004-04-30 00:00:00 1.6 5.2 20.6 34.0 4.5 207.5 17.2 3.5
2004-05-31 00:00:00 1.6 5.4 20.9 34.6 4.6 204.3 15.5 3.6
2004-06-30 00:00:00 1.6 5.3 21.2 33.9 4.6 212.9 14.3 3.3
2004-07-31 00:00:00 1.7 5.5 20.4 35.1 4.5 212.5 15.3 3.0
2004-08-31 00:00:00 1.7 5.8 20.4 36.2 4.1 220.3 15.3 2.5
2004-09-30 00:00:00 1.7 5.7 20.6 35.9 4.1 213.1 13.3 2.4
2004-10-31 00:00:00 1.7 5.6 20.8 35.3 4.0 211.7 16.3 2.1
2004-11-30 00:00:00 2.0 5.5 21.4 35.1 4.3 196.1 13.2 2.1
2004-12-31 00:00:00 1.9 5.4 22.0 33.9 4.2 188.2 13.3 2.0
2005-01-31 00:00:00 2.0 5.5 19.7 34.8 4.1 176.2 12.8 1.7
2005-02-28 00:00:00 2.0 5.7 20.1 34.2 4.4 157.3 12.1 1.6
2005-03-31 00:00:00 2.0 5.7 19.6 36.3 4.5 165.8 14.0 1.7
2005-04-30 00:00:00 2.1 5.8 19.2 37.1 4.2 177.2 15.3 1.3
2005-05-31 00:00:00 2.0 5.7 19.8 36.3 4.0 191.9 13.3 1.0
2005-06-30 00:00:00 2.1 5.7 19.7 36.3 3.9 189.7 12.0 0.8
2005-07-31 00:00:00 2.0 5.5 20.4 35.1 4.3 167.4 11.6 0.9
2005-08-31 00:00:00 2.0 5.8 20.1 36.3 4.0 177.6 12.6 0.5
2005-09-30 00:00:00 2.0 5.7 20.1 36.0 4.3 182.6 11.9 0.8
2005-10-31 00:00:00 2.1 5.8 19.6 36.7 4.6 184.9 15.3 0.7
2005-11-30 00:00:00 1.8 5.9 20.5 36.4 4.5 189.6 12.1 0.6
2005-12-31 00:00:00 1.8 5.9 20.3 36.5 4.4 181.9 12.1 0.3
2006-01-31 00:00:00 1.8 5.7 19.3 35.5 4.5 179.5 12.9 0.1
2006-02-28 00:00:00 1.8 6.4 19.3 36.5 4.6 164.9 12.3 -0.1
2006-03-31 00:00:00 1.8 6.2 19.5 36.5 4.8 170.3 11.4 0.2
2006-04-30 00:00:00 1.8 6.1 19.9 36.0 5.1 168.9 11.6 0.3
2006-05-31 00:00:00 1.9 6.8 19.2 38.1 5.1 166.1 16.4 0.3
2006-06-30 00:00:00 1.9 6.5 19.3 38.1 5.1 168.4 13.1 0.2
2006-07-31 00:00:00 1.9 6.5 19.3 37.9 5.0 169.1 14.9 -0.1
2006-08-31 00:00:00 1.8 6.6 19.9 37.7 4.7 174.4 12.3 -0.3
2006-09-30 00:00:00 1.8 6.5 20.4 36.8 4.6 173.2 12.0 -0.2
2006-10-31 00:00:00 1.8 6.3 20.9 35.6 4.6 165.2 11.1 -0.5
2006-11-30 00:00:00 1.8 6.3 21.2 34.9 4.5 164.2 10.9 -0.6
2006-12-31 00:00:00 1.8 6.2 21.4 34.5 4.7 164.8 11.6 -0.3
2007-01-31 00:00:00 1.8 6.1 20.1 34.0 4.8 159.2 10.4 -0.3
2007-02-28 00:00:00 1.8 6.3 19.6 35.8 4.6 159.4 15.4 -0.6
2007-03-31 00:00:00 1.8 6.3 19.8 35.3 4.6 175.6 14.6 -0.4
2007-04-30 00:00:00 1.8 6.0 20.8 33.8 4.6 168.8 14.2 -0.2
2007-05-31 00:00:00 1.7 5.9 21.5 33.3 4.9 161.2 13.1 0.2
2007-06-30 00:00:00 1.8 6.0 21.1 33.9 5.0 159.6 16.2 0.2
2007-07-31 00:00:00 1.9 6.2 20.6 34.9 4.7 189.1 23.5 -0.2
2007-08-31 00:00:00 1.9 6.3 20.9 34.9 4.5 206.1 23.4 0.4
2007-09-30 00:00:00 1.8 6.1 21.6 33.7 4.6 200.3 18.0 0.8
2007-10-31 00:00:00 1.8 6.0 21.9 33.2 4.5 199.9 18.5 0.6
2007-11-30 00:00:00 1.9 6.2 20.8 35.2 3.9 250.2 22.9 0.8
2007-12-31 00:00:00 1.9 6.3 20.5 35.5 4.0 253.7 22.5 0.8
2008-01-31 00:00:00 2.1 6.7 18.1 37.8 3.6 303.7 26.2 1.7
2008-02-29 00:00:00 2.2 6.5 17.4 39.5 3.5 324.1 26.5 1.7
2008-03-31 00:00:00 2.2 6.6 17.6 39.7 3.4 349.0 25.6 2.1
2008-04-30 00:00:00 2.1 6.3 18.5 37.9 3.7 314.2 20.8 2.4
2008-05-31 00:00:00 2.1 5.9 18.6 37.6 4.1 300.1 17.8 2.2
2008-06-30 00:00:00 2.3 6.5 17.0 41.2 4.0 307.1 23.9 2.2
2008-07-31 00:00:00 2.3 6.6 16.8 41.6 3.9 326.4 22.9 2.3
2008-08-31 00:00:00 2.3 6.0 17.1 41.2 3.8 330.8 20.6 2.1
2008-09-30 00:00:00 2.5 6.6 16.4 45.3 3.8 402.7 39.4 2.9
2008-10-31 00:00:00 3.0 8.0 13.6 54.6 4.0 558.7 59.9 3.5
2008-11-30 00:00:00 3.2 8.7 12.7 56.2 2.9 611.0 55.8 2.9
2008-12-31 00:00:00 3.2 8.6 12.9 55.8 2.2 585.8 40.0 2.1
2009-01-31 00:00:00 3.4 9.4 11.5 60.8 2.8 541.0 44.8 2.6
2009-02-28 00:00:00 3.8 9.4 10.5 60.1 3.0 522.7 46.4 2.8
2009-03-31 00:00:00 3.6 8.5 11.2 54.7 2.7 578.7 44.1 2.5
2009-04-30 00:00:00 3.3 7.8 12.2 50.0 3.1 512.1 36.5 3.0
2009-05-31 00:00:00 3.1 7.0 12.6 48.0 3.5 430.1 28.9 3.3
2009-06-30 00:00:00 3.0 7.0 12.6 48.0 3.5 363.7 26.4 3.4
2009-07-31 00:00:00 2.7 6.5 13.5 44.7 3.5 315.0 25.9 3.3
2009-08-31 00:00:00 2.6 5.7 13.6 47.1 3.4 298.2 26.0 3.3
2009-09-30 00:00:00 2.4 5.5 13.9 45.4 3.3 286.5 25.6 3.2
2009-10-31 00:00:00 2.4 5.6 13.6 46.3 3.4 288.7 30.7 3.3
2009-11-30 00:00:00 2.3 5.0 14.3 45.2 3.2 300.2 24.5 3.2
2009-12-31 00:00:00 2.1 4.9 14.2 44.4 3.8 255.3 21.7 3.8
2010-01-31 00:00:00 2.2 5.1 13.6 46.1 3.6 261.6 24.6 3.5
2010-02-28 00:00:00 2.0 5.9 14.0 46.4 3.6 261.8 19.5 3.5
2010-03-31 00:00:00 1.8 5.6 14.8 43.7 3.8 248.4 17.6 3.7
2010-04-30 00:00:00 1.8 5.5 15.0 43.1 3.7 241.7 22.1 3.5
2010-05-31 00:00:00 2.0 6.1 13.8 48.6 3.3 290.8 32.1 3.1
2010-06-30 00:00:00 2.1 6.5 12.9 51.3 2.9 311.9 34.5 2.8
2010-07-31 00:00:00 2.0 6.1 13.7 48.0 2.9 294.5 23.5 2.8
2010-08-31 00:00:00 2.1 7.0 12.9 51.2 2.5 301.2 26.1 2.3
2010-09-30 00:00:00 2.0 6.4 14.0 47.0 2.5 307.0 23.7 2.4
2010-10-31 00:00:00 1.9 6.2 14.4 45.4 2.6 318.1 21.2 2.5
2010-11-30 00:00:00 2.0 6.8 14.4 47.6 2.8 304.3 23.5 2.6
2010-12-31 00:00:00 1.9 6.4 15.2 44.7 3.3 268.6 17.8 3.2
2011-01-31 00:00:00 1.8 6.2 15.3 43.7 3.4 273.0 19.5 3.2
2011-02-28 00:00:00 1.8 6.4 15.7 43.2 3.4 256.3 18.4 3.3
2011-03-31 00:00:00 1.8 6.3 15.7 43.3 3.5 258.0 17.7 3.4
2011-04-30 00:00:00 1.8 6.2 16.1 42.1 3.3 261.4 14.8 3.3
2011-05-31 00:00:00 1.9 6.6 15.8 44.0 3.1 263.9 15.4 3.0
2011-06-30 00:00:00 1.9 6.7 15.6 44.8 3.2 274.0 16.5 3.1
2011-07-31 00:00:00 2.0 6.8 15.2 45.8 2.8 279.4 25.2 2.7
2011-08-31 00:00:00 2.1 7.3 14.3 50.0 2.2 325.7 31.6 2.2
2011-09-30 00:00:00 2.3 7.9 13.3 53.9 1.9 337.5 43.0 1.9
2011-10-31 00:00:00 2.1 7.1 14.7 48.7 2.1 321.7 30.0 2.1
2011-11-30 00:00:00 2.1 7.3 14.6 48.9 2.1 315.2 27.8 2.1
2011-12-31 00:00:00 2.1 7.2 14.8 48.4 1.9 330.4 23.4 1.9
2012-01-31 00:00:00 2.1 6.9 14.8 46.4 1.8 331.2 19.4 1.7
2012-02-29 00:00:00 2.0 7.0 15.3 44.7 2.0 307.1 18.4 1.9
2012-03-31 00:00:00 2.0 6.8 15.8 43.3 2.2 300.1 15.5 2.1
2012-04-30 00:00:00 2.0 6.8 15.6 43.7 1.9 323.1 17.1 1.8
2012-05-31 00:00:00 2.2 7.5 14.7 48.0 1.6 346.4 24.1 1.5
2012-06-30 00:00:00 2.1 7.2 15.2 46.2 1.6 332.5 17.1 1.6
2012-07-31 00:00:00 2.1 7.1 15.3 45.6 1.5 331.0 18.9 1.4
2012-08-31 00:00:00 2.1 7.0 15.6 45.5 1.5 328.2 17.5 1.5
2012-09-30 00:00:00 2.1 6.9 16.0 44.4 1.6 307.6 15.7 1.5
2012-10-31 00:00:00 2.1 7.0 15.6 45.3 1.7 287.8 18.6 1.6
2012-11-30 00:00:00 2.2 7.0 15.5 46.5 1.6 295.4 15.9 1.5
2012-12-31 00:00:00 2.2 7.0 15.6 46.2 1.8 282.3 18.0 1.7
2013-01-31 00:00:00 2.1 6.7 16.1 44.0 2.0 287.5 14.3 1.9
2013-02-28 00:00:00 2.2 6.7 16.2 43.4 1.9 293.8 15.5 1.8
2013-03-31 00:00:00 2.1 6.5 16.8 42.3 1.8 298.1 12.7 1.8
2013-04-30 00:00:00 2.1 6.4 17.1 41.6 1.7 285.3 13.5 1.6
2013-05-31 00:00:00 2.1 6.3 17.4 41.5 2.1 277.2 16.3 2.1
2013-06-30 00:00:00 2.1 6.4 17.1 42.1 2.5 292.4 16.9 2.5
2013-07-31 00:00:00 2.1 6.1 17.9 40.1 2.6 272.2 13.4 2.5
2013-08-31 00:00:00 2.1 6.7 17.3 41.4 2.8 258.6 17.0 2.8
2013-09-30 00:00:00 2.1 6.5 17.7 40.2 2.6 272.9 16.6 2.6
2013-10-31 00:00:00 2.0 6.2 18.6 38.5 2.6 267.3 13.8 2.5
2013-11-30 00:00:00 2.0 6.2 19.1 38.2 2.7 259.6 13.7 2.7
2013-12-31 00:00:00 1.9 6.1 19.5 37.4 3.0 231.2 13.7 3.0
2014-01-31 00:00:00 2.0 6.3 18.6 38.8 2.6 243.6 18.4 2.6
2014-02-28 00:00:00 1.9 5.7 19.3 38.3 2.6 236.2 14.0 2.6
2014-03-31 00:00:00 1.9 5.8 19.5 38.1 2.7 224.3 13.9 2.7
2014-04-30 00:00:00 1.9 5.8 19.6 37.9 2.6 221.1 13.4 2.6
2014-05-31 00:00:00 1.9 5.7 20.1 37.2 2.5 221.4 11.4 2.4
2014-06-30 00:00:00 1.9 5.6 20.4 36.5 2.5 221.5 11.6 2.5
2014-07-31 00:00:00 2.0 5.7 20.1 37.1 2.6 216.9 16.9 2.5
2014-08-31 00:00:00 1.9 5.6 20.8 36.5 2.3 222.7 12.0 2.3
2014-09-30 00:00:00 2.0 5.7 20.4 37.1 2.5 227.3 16.3 2.5
2014-10-31 00:00:00 1.9 5.6 20.9 36.2 2.3 237.5 14.0 2.3
2014-11-30 00:00:00 1.9 5.6 21.4 35.5 2.2 256.6 13.3 2.2
2014-12-31 00:00:00 2.0 5.6 21.2 35.7 2.2 251.9 19.2 2.1
2015-01-31 00:00:00 2.0 5.8 20.4 36.8 1.6 270.9 21.0 1.6
2015-02-28 00:00:00 1.9 5.5 21.5 34.5 2.0 247.7 13.3 2.0
2015-03-31 00:00:00 2.0 5.6 21.1 35.1 1.9 258.7 15.3 1.9
2015-04-30 00:00:00 2.0 5.5 21.3 34.8 2.0 259.1 14.6 2.0
2015-05-31 00:00:00 2.0 5.5 21.6 34.5 2.1 275.9 13.8 2.1
2015-06-30 00:00:00 2.1 5.6 21.1 35.3 2.4 280.4 18.2 2.3
2015-07-31 00:00:00 2.0 5.5 21.5 34.6 2.2 298.0 12.1 2.1
2015-08-31 00:00:00 2.2 5.8 20.2 37.1 2.2 312.9 28.4 2.2
2015-09-30 00:00:00 2.2 6.0 19.6 38.2 2.0 325.0 24.5 2.1
2015-10-31 00:00:00 2.1 5.5 21.1 35.2 2.1 325.8 15.1 2.1
2015-11-30 00:00:00 2.1 5.5 21.3 35.3 2.2 321.6 16.1 2.0
2015-12-31 00:00:00 2.1 5.5 21.0 36.0 2.3 327.1 18.2 2.1
2016-01-31 00:00:00 2.3 5.9 19.7 37.9 1.9 355.9 20.2 1.6
2016-02-29 00:00:00 2.3 5.9 19.5 37.9 1.7 360.6 20.6 1.4
2016-03-31 00:00:00 2.2 5.5 20.9 35.5 1.8 314.0 13.9 1.6
2016-04-30 00:00:00 2.2 5.5 20.9 35.4 1.8 289.7 15.7 1.6
2016-05-31 00:00:00 2.2 5.2 21.2 35.3 1.8 284.7 14.2 1.6
2016-06-30 00:00:00 2.2 5.2 21.2 35.3 1.5 294.4 15.6 1.2
2016-07-31 00:00:00 2.1 5.1 21.9 34.2 1.5 274.7 11.9 1.2
2016-08-31 00:00:00 2.1 5.0 21.9 34.6 1.6 261.3 13.4 1.3
2016-09-30 00:00:00 2.1 5.0 21.7 34.8 1.6 263.6 13.3 1.3
2016-10-31 00:00:00 2.2 5.1 21.3 35.5 1.8 262.0 17.1 1.5
2016-11-30 00:00:00 2.1 5.0 22.0 35.0 2.4 237.2 13.3 1.9
2016-12-31 00:00:00 2.1 4.9 22.5 34.3 2.4 231.6 14.0 1.9
2017-01-31 00:00:00 2.1 4.8 22.6 33.7 2.5 222.8 12.0 1.9
2017-02-28 00:00:00 2.0 4.7 23.5 32.1 2.4 215.3 12.9 1.8
2017-03-31 00:00:00 2.0 4.7 23.5 32.1 2.4 226.3 12.4 1.6
2017-04-30 00:00:00 2.0 4.6 23.8 31.8 2.3 230.0 10.8 1.5
2017-05-31 00:00:00 2.0 4.8 24.0 32.1 2.2 225.2 10.4 1.2
2017-06-30 00:00:00 2.0 4.7 24.1 31.9 2.3 205.6 11.2 1.3
2017-07-31 00:00:00 2.0 4.6 24.6 31.3 2.3 205.2 10.3 1.2
2017-08-31 00:00:00 2.0 4.8 24.6 31.9 2.1 216.3 10.6 1.1
2017-09-30 00:00:00 2.0 4.7 25.0 31.3 2.3 202.6 9.5 1.3
2017-10-31 00:00:00 1.9 4.6 25.3 30.6 2.4 190.0 10.2 1.2
2017-11-30 00:00:00 1.9 4.6 26.1 30.3 2.4 188.2 11.3 1.2
2017-12-31 00:00:00 1.9 4.6 26.3 30.0 2.4 178.5 11.0 1.0
2018-01-31 00:00:00 1.8 4.3 27.0 28.5 2.7 159.1 13.5 1.2
2018-02-28 00:00:00 1.9 4.6 25.9 29.9 2.9 172.6 19.9 1.2
2018-03-31 00:00:00 2.0 4.7 25.3 30.7 2.7 189.1 20.0 1.0
2018-04-30 00:00:00 2.0 4.7 25.4 30.6 3.0 180.7 15.9 1.2
2018-05-31 00:00:00 1.9 4.9 26.0 30.2 2.9 187.5 15.4 1.0
2018-06-30 00:00:00 1.9 4.9 26.0 30.2 2.9 198.0 16.1 0.9
2018-07-31 00:00:00 1.8 4.8 26.9 29.1 3.0 184.9 12.8 0.9
2018-08-31 00:00:00 1.8 4.8 27.6 28.3 2.9 190.0 12.9 0.8
2018-09-30 00:00:00 1.8 4.8 27.7 28.2 3.1 182.9 12.1 0.9
2018-10-31 00:00:00 1.9 5.2 25.6 30.3 3.1 198.9 21.2 0.8
2018-11-30 00:00:00 1.9 5.4 26.0 30.0 3.0 230.2 18.1 0.6
2018-12-31 00:00:00 2.1 6.0 23.5 33.1 2.7 247.6 25.4 0.3
2019-01-31 00:00:00 2.0 5.5 24.1 30.7 2.6 244.1 16.6 0.2
2019-02-28 00:00:00 2.0 5.5 24.9 30.1 2.7 222.3 14.8 0.3
2019-03-31 00:00:00 1.9 5.4 25.4 29.5 2.4 225.5 13.7 0.0
2019-04-30 00:00:00 1.9 5.2 26.3 28.4 2.5 216.8 13.1 0.1
2019-05-31 00:00:00 2.0 5.6 24.6 31.2 2.1 242.5 18.7 -0.2
2019-06-30 00:00:00 1.9 5.2 26.3 29.2 2.0 231.5 15.1 -0.1
2019-07-31 00:00:00 1.9 5.2 26.5 28.7 2.0 216.3 16.1 -0.0
2019-08-31 00:00:00 1.9 5.3 26.0 29.7 1.5 227.4 19.0 -0.5
2019-09-30 00:00:00 1.9 5.2 26.4 29.2 1.7 219.6 16.2 -0.1
2019-10-31 00:00:00 1.9 5.1 26.8 28.6 1.7 225.7 13.2 0.2
2019-11-30 00:00:00 1.9 4.9 27.7 28.2 1.8 207.4 12.6 0.2
2019-12-31 00:00:00 1.8 4.7 28.4 27.5 1.9 195.2 13.8 0.4
2020-01-31 00:00:00 1.8 4.7 27.1 27.5 1.5 214.3 18.8 -0.0
2020-02-29 00:00:00 2.0 5.3 24.7 30.4 1.1 242.1 40.1 -0.1
2020-03-31 00:00:00 2.3 6.0 21.7 34.7 0.7 394.1 53.5 0.6
2020-04-30 00:00:00 2.1 5.3 24.4 30.8 0.6 325.4 34.1 0.6
2020-05-31 00:00:00 2.0 4.8 25.5 28.6 0.7 314.7 27.5 0.5
2020-06-30 00:00:00 2.0 4.7 26.1 28.0 0.7 290.4 30.4 0.5
2020-07-31 00:00:00 1.9 4.5 27.4 26.8 0.5 262.2 24.5 0.4
2020-08-31 00:00:00 1.7 3.8 29.3 25.3 0.7 274.0 26.4 0.6
2020-09-30 00:00:00 1.8 3.9 28.0 26.3 0.7 271.1 26.4 0.6
2020-10-31 00:00:00 1.8 4.1 27.1 27.1 0.9 258.6 38.0 0.8
2020-11-30 00:00:00 1.7 3.6 29.9 25.0 0.8 231.4 20.6 0.8
2020-12-31 00:00:00 1.6 3.5 31.0 24.1 0.9 221.7 22.8 0.9
2021-01-31 00:00:00 1.6 3.5 30.0 24.4 1.1 217.4 33.1 1.0
2021-02-28 00:00:00 1.5 3.3 30.8 24.0 1.4 225.5 27.9 1.4
2021-03-31 00:00:00 1.5 3.2 32.2 22.9 1.7 203.1 19.4 1.7
2021-04-30 00:00:00 1.4 3.0 33.9 21.8 1.6 199.4 18.6 1.6
2021-05-31 00:00:00 1.4 3.4 34.1 21.9 1.6 195.5 16.8 1.6
2021-06-30 00:00:00 1.4 3.4 34.8 21.5 1.5 189.2 15.8 1.4
2021-07-31 00:00:00 1.3 3.3 35.3 21.0 1.2 196.8 18.2 1.2
2021-08-31 00:00:00 1.3 3.7 36.3 21.1 1.3 187.8 16.5 1.3
2021-09-30 00:00:00 1.4 3.9 34.2 22.2 1.5 187.8 23.1 1.5
2021-10-31 00:00:00 1.3 3.7 36.2 20.7 1.6 170.8 16.3 1.5
2021-11-30 00:00:00 1.3 4.0 35.8 21.2 1.4 185.2 27.2 1.4
2021-12-31 00:00:00 1.3 3.9 37.7 20.3 1.5 186.0 17.2 1.5
2022-01-31 00:00:00 1.3 4.1 32.4 21.4 1.8 192.2 24.8 1.6
2022-02-28 00:00:00 1.4 4.5 31.5 22.7 1.8 231.9 30.1 1.5
2022-03-31 00:00:00 1.4 4.4 32.5 21.9 2.3 188.9 20.6 1.9
2022-04-30 00:00:00 1.5 4.8 29.7 24.0 2.9 197.6 33.4 2.1
2022-05-31 00:00:00 1.5 4.9 29.8 24.0 2.8 213.6 26.2 1.8
2022-06-30 00:00:00 1.7 5.4 27.2 26.2 3.0 236.0 28.7 1.4
2022-07-31 00:00:00 1.6 4.9 29.3 24.0 2.6 245.1 21.3 0.3
2022-08-31 00:00:00 1.7 5.3 28.0 24.9 3.2 207.6 25.9 0.3
2022-09-30 00:00:00 1.8 5.8 25.1 27.5 3.8 220.1 31.6 0.6
2022-10-31 00:00:00 1.7 5.4 26.9 25.5 4.0 229.9 25.9 -0.0
2022-11-30 00:00:00 1.6 5.2 28.5 24.0 3.6 218.6 20.6 -0.7
2022-12-31 00:00:00 1.8 5.5 26.9 25.5 3.9 187.5 21.7 -0.5
2023-01-31 00:00:00 1.7 5.2 26.5 24.1 3.5 191.3 19.4 -1.1
2023-02-28 00:00:00 1.7 5.3 25.8 25.5 3.9 185.6 20.7 -0.8
2023-03-31 00:00:00 1.7 5.1 26.8 24.6 3.5 216.4 18.7 -1.2
2023-04-30 00:00:00 1.7 5.0 27.2 24.2 3.4 217.8 15.8 -1.6
2023-05-31 00:00:00 1.7 5.0 27.3 24.7 3.6 216.6 17.9 -1.7
2023-06-30 00:00:00 1.6 4.7 29.0 23.2 3.8 185.3 13.6 -1.4
2023-07-31 00:00:00 1.5 4.6 29.8 22.5 4.0 179.9 13.6 -1.4
2023-08-31 00:00:00 1.5 4.6 29.3 23.3 4.1 183.8 13.6 -1.3
2023-09-30 00:00:00 1.6 4.8 27.9 24.5 4.6 181.9 17.5 -0.9
2023-10-31 00:00:00 1.7 4.9 26.9 25.0 4.9 182.2 18.1 -0.5
2023-11-30 00:00:00 1.5 4.6 29.3 23.2 4.3 165.4 12.9 -1.1
2023-12-31 00:00:00 1.5 4.4 30.7 22.3 3.9 158.1 12.4 -1.5
2024-01-31 00:00:00 1.5 4.3 29.5 21.9 3.9 170.1 14.3 -1.4
2024-02-29 00:00:00 1.4 4.1 30.9 21.3 4.3 158.2 13.4 -1.1
2024-03-31 00:00:00 1.4 4.0 32.0 20.8 4.2 154.0 13.0 -1.2
2024-04-30 00:00:00 1.4 4.2 30.7 21.7 4.7 141.3 15.7 -0.7
2024-05-31 00:00:00 1.4 4.1 32.1 20.8 4.5 151.2 12.9 -0.9
2024-06-30 00:00:00 1.3 4.0 33.3 20.2 4.4 144.4 12.4 -1.0
2024-07-31 00:00:00 1.3 3.9 33.5 20.0 4.0 174.7 16.4 -1.3
2024-08-31 00:00:00 1.3 3.9 34.2 19.8 3.9 165.7 15.0 -1.2
2024-09-30 00:00:00 1.3 3.8 34.7 19.5 3.8 163.1 16.7 -0.8
2024-10-31 00:00:00 1.3 3.9 34.2 19.7 4.3 145.2 23.2 -0.3
2024-11-30 00:00:00 1.2 3.7 36.1 19.1 4.2 156.2 13.5 -0.3
2024-12-31 00:00:00 1.3 3.8 35.3 19.6 4.6 141.1 17.4 0.3
2025-01-31 00:00:00 1.2 3.7 34.1 19.1 4.5 143.1 16.4 0.3
2025-02-28 00:00:00 1.3 3.9 33.5 19.6 4.2 160.2 19.6 -0.1
2025-03-31 00:00:00 1.4 4.2 31.7 20.7 4.2 179.1 22.3 -0.1
2025-04-30 00:00:00 1.4 4.2 31.3 20.9 4.2 188.9 24.7 -0.1
2025-05-31 00:00:00 1.3 4.0 33.2 20.0 4.4 184.0 18.6 0.1
2025-06-30 00:00:00 1.2 3.8 34.8 19.1 4.2 186.2 16.7 -0.1
2025-07-31 00:00:00 1.2 3.7 35.3 18.7 4.4 169.2 16.7 0.0
2025-08-31 00:00:00 1.2 3.7 36.2 18.9 4.2 174.2 15.4 0.1
2025-09-30 00:00:00 1.2 3.6 37.4 18.3 4.2 164.2 16.3 0.2
2025-10-31 00:00:00 1.1 3.5 38.2 17.9 4.1 167.2 17.4 0.3
# Output from previous execution
  Mean DP EP ALL
date        
1993-03-31 1.1% 1.6% 0.6% 0.3%
1993-04-30 1.7% 1.6% 0.8% 0.9%
1993-05-31 0.2% 1.7% 0.6% 0.7%
  Mean DP EP ALL
date        
2025-08-31 0.9% 0.4% 0.5% 0.1%
2025-09-30 0.9% 0.4% 0.5% -0.3%
2025-10-31 0.9% 0.4% 0.5% -0.2%
# Output from previous execution
../_images/df1cc3e5b097142726cf3552049b2096878fd0b2440f2598ca73089668f69ebc.png
# Output from previous execution
  Passive Mean DP EP ALL
date          
1993-03-31 2.2% 2.4% 3.7% 1.4% 0.7%
1993-04-30 -2.6% -4.2% -4.2% -2.0% -2.3%
1993-05-31 2.7% 0.7% 4.5% 1.6% 1.8%
  Passive Mean DP EP ALL
date          
2025-08-31 2.1% 1.9% 0.9% 1.0% 0.3%
2025-09-30 3.6% 3.3% 1.5% 1.8% -1.0%
2025-10-31 2.4% 2.2% 0.9% 1.1% -0.6%
# Output from previous execution
  Mean DP EP ALL
OOS-Rsquared 0.0% 1.6% 1.6% 6.6%
Corr. between forecast and target -3.6% 8.2% 8.0% 23.9%
../_images/1353176950b9d40241248b1d83cd9d3ee5763d573101699e37ad8a4d6d3bb0dd.png ../_images/dbb1e36e620540c771febb67e1a3a5c9f4b6fe87cad2a46d31d82cd6fb67ea5c.png ../_images/b84fc609173024fe2e3aab56985fa1efb96fe4ddda14677012bbce1e371c2072.png ../_images/4ab93d7867e705e418b83763966c8d36c54de9721ea98ace573af9c62d7579da.png
  Mean Vol Sharpe Min Max
Passive 11.3% 14.8% 76.6% -16.5% 12.7%
Mean 10.2% 15.0% 68.2% -23.3% 15.3%
DP 12.1% 15.6% 78.0% -22.7% 22.3%
EP 12.1% 16.1% 74.9% -21.9% 17.9%
ALL 23.1% 27.4% 84.4% -63.5% 62.5%
  Skewness Kurtosis VaR (0.05) CVaR (0.05) Max Drawdown Peak Bottom Recover Duration (to Recover)
Passive -59.5% 98.1% -7.0% -9.4% -50.8% 2007-10-31 2009-02-28 2012-03-31 1613 days
Mean -57.6% 282.9% -6.9% -9.5% -51.7% 2000-08-31 2002-09-30 2013-07-31 4717 days
DP -46.0% 610.1% -6.0% -9.9% -66.1% 2007-10-31 2009-02-28 2012-02-29 1582 days
EP -47.4% 440.4% -6.1% -10.7% -65.2% 2007-10-31 2009-02-28 2012-08-31 1766 days
ALL 38.0% 2312.6% -6.9% -14.4% -69.7% 2019-12-31 2020-03-31 2020-12-31 366 days
  alpha SPY r-squared Treynor Ratio Info Ratio
Passive -0.00% 1.00 100.00% 11.32%
Mean -0.67% 0.96 89.85% 10.62% -14.10%
DP 1.24% 0.96 83.64% 12.60% 19.65%
EP 0.56% 1.02 86.82% 11.87% 9.64%
ALL 9.04% 1.24 45.03% 18.58% 44.52%
# Output from previous execution
  Mean DP EP ALL
date        
1998-02-28 1.6% 2.3% 3.2% 1.6%
1998-03-31 1.7% 2.8% 3.3% 1.2%
1998-04-30 1.7% 3.0% 1.4% 1.7%
  Mean DP EP ALL
date        
2025-08-31 0.9% 0.4% 0.5% 0.0%
2025-09-30 0.9% 0.4% 0.5% -0.4%
2025-10-31 0.9% 0.4% 0.5% -0.3%
# Output from previous execution
  Passive Mean DP EP ALL
date          
1998-02-28 6.9% 11.0% 16.1% 21.9% 10.9%
1998-03-31 4.9% 8.1% 13.5% 16.0% 5.6%
1998-04-30 1.3% 2.2% 3.9% 1.8% 2.2%
  Passive Mean DP EP ALL
date          
2025-08-31 2.1% 1.9% 0.8% 1.0% 0.0%
2025-09-30 3.6% 3.3% 1.4% 1.7% -1.5%
2025-10-31 2.4% 2.2% 0.9% 1.1% -0.7%
# Output from previous execution
  Mean DP EP ALL
OOS-Rsquared 0.0% -0.4% -0.2% -6.8%
Corr. between forecast and target -5.4% -2.0% -1.4% 4.8%
../_images/8e52e8525fdc688f0162096fa58fbc41280055615db48a68a054cf1efbb888bc.png ../_images/f12dd23bd25e62f19a3eb5e764f90e1301ee48742a13839b5729dbdf7405fa1d.png ../_images/fb9660184d0f419e1a4e303cfebf353001866fd4c96d8306d5df22d1437e2828.png ../_images/7f01779b08c9e2cc7e6c0617cc68bde7afd68fb8ec3575b9cab62bc3e464d50d.png
  Mean Vol Sharpe Min Max
Passive 9.9% 15.4% 64.8% -16.5% 12.7%
Mean 8.6% 15.2% 56.3% -23.3% 15.3%
DP 8.6% 16.8% 51.4% -33.5% 16.1%
EP 9.1% 17.0% 53.4% -28.2% 21.9%
ALL 14.9% 36.5% 40.8% -68.9% 54.6%
  Skewness Kurtosis VaR (0.05) CVaR (0.05) Max Drawdown Peak Bottom Recover Duration (to Recover)
Passive -56.3% 84.8% -7.6% -9.8% -50.8% 2007-10-31 2009-02-28 2012-03-31 1613 days
Mean -64.5% 297.0% -7.3% -9.8% -51.7% 2000-08-31 2002-09-30 2013-07-31 4717 days
DP -108.5% 878.1% -6.6% -11.3% -55.2% 2007-10-31 2009-02-28 2013-07-31 2100 days
EP -75.8% 623.5% -6.9% -11.6% -64.3% 2007-10-31 2009-02-28 2013-10-31 2192 days
ALL -121.9% 1390.5% -10.4% -26.4% -83.6% 2000-03-31 2011-09-30 2019-04-30 6969 days
  alpha SPY r-squared Treynor Ratio Info Ratio
Passive 0.00% 1.00 100.00% 9.94%
Mean -0.81% 0.94 90.46% 9.08% -17.24%
DP -1.09% 0.98 79.93% 8.83% -14.52%
EP -0.95% 1.01 82.93% 9.00% -13.48%
ALL 3.03% 1.20 25.27% 12.48% 9.59%
# Output from previous execution
/var/folders/zx/3v_qt0957xzg3nqtnkv007d00000gn/T/ipykernel_48253/944787420.py:17: FutureWarning: Series.ravel is deprecated. The underlying array is already 1D, so ravel is not necessary.  Use `to_numpy()` for conversion to a numpy array instead.
  y = spy.squeeze('columns').ravel()
/opt/miniconda3/envs/env-finm-2025/lib/python3.10/site-packages/sklearn/neural_network/_multilayer_perceptron.py:780: ConvergenceWarning: Stochastic Optimizer: Maximum iterations (500) reached and the optimization hasn't converged yet.
  warnings.warn(
  Mean OLS Random Forest NN
date        
1993-03-31 1.1% 0.3% 0.8% -0.8%
1993-04-30 1.7% 0.9% 0.8% 0.4%
1993-05-31 0.2% 0.7% 0.8% 0.2%
  Mean OLS Random Forest NN
date        
2025-08-31 0.9% 0.1% 0.8% 0.7%
2025-09-30 0.9% -0.3% 0.4% -0.3%
2025-10-31 0.9% -0.2% -0.1% -0.1%
# Output from previous execution
../_images/378b9a7a454fcb6a6b98792d70c12b762c4104734581593ee511536e1e7550ee.png
# Output from previous execution
  Passive Mean OLS Random Forest NN
date          
1993-03-31 2.2% 2.4% 0.7% 0.9% -0.9%
1993-04-30 -2.6% -4.2% -2.3% -1.0% -0.5%
1993-05-31 2.7% 0.7% 1.8% 1.1% 0.3%
  Passive Mean OLS Random Forest NN
date          
2025-08-31 2.1% 1.9% 0.3% 0.8% 0.8%
2025-09-30 3.6% 3.3% -1.0% 0.8% -0.5%
2025-10-31 2.4% 2.2% -0.6% -0.1% -0.1%
# Output from previous execution
  Mean OLS Random Forest NN
OOS-Rsquared 0.0% 6.6% 31.9% 28.4%
Corr. between forecast and target -3.6% 23.9% 70.0% 54.1%
../_images/c5bb0f5786638a13375c5dd76a079745f97a4edda6471399338136efd2d14e45.png ../_images/49aa435d0f1ef70bf030e54380edce5554dacfe42ba191d8a0ed7d17db14de59.png ../_images/b50c738bcd3bcddc0b193058f9f5ff862d11df1ea392790b93ca8aa468298588.png ../_images/60f5b82d4839403cbf88d61ada07f6bffe9f7b48d217326255a6189eaa723f23.png
  Mean Vol Sharpe Min Max
Passive 11.3% 14.8% 76.6% -16.5% 12.7%
Mean 10.2% 15.0% 68.2% -23.3% 15.3%
OLS 23.1% 27.4% 84.4% -63.5% 62.5%
Random Forest 26.4% 20.1% 131.3% -4.1% 57.2%
NN 29.7% 20.7% 143.4% -14.8% 61.8%
  Skewness Kurtosis VaR (0.05) CVaR (0.05) Max Drawdown Peak Bottom Recover Duration (to Recover)
Passive -59.5% 98.1% -7.0% -9.4% -50.8% 2007-10-31 2009-02-28 2012-03-31 1613 days
Mean -57.6% 282.9% -6.9% -9.5% -51.7% 2000-08-31 2002-09-30 2013-07-31 4717 days
OLS 38.0% 2312.6% -6.9% -14.4% -69.7% 2019-12-31 2020-03-31 2020-12-31 366 days
Random Forest 574.9% 4382.6% -1.3% -2.0% -6.3% 2007-10-31 2008-03-31 2008-10-31 366 days
NN 416.1% 2951.5% -2.4% -4.3% -16.6% 2019-11-30 2020-03-31 2020-04-30 152 days
  alpha SPY r-squared Treynor Ratio Info Ratio
Passive -0.00% 1.00 100.00% 11.32%
Mean -0.67% 0.96 89.85% 10.62% -14.10%
OLS 9.04% 1.24 45.03% 18.58% 44.52%
Random Forest 22.54% 0.34 6.38% 76.72% 115.67%
NN 24.76% 0.44 9.82% 67.55% 125.68%
# Output from previous execution
OLS
Random Forest
NN
  Mean OLS Random Forest NN
date        
1998-03-31 1.6% 1.2% -1.2% -4.9%
1998-04-30 1.7% 1.7% -0.7% -6.8%
1998-05-31 1.7% 1.0% 0.3% -2.5%
  Mean OLS Random Forest NN
date        
2025-08-31 0.9% 0.0% 0.4% -0.3%
2025-09-30 0.9% -0.4% -0.6% -1.3%
2025-10-31 0.9% -0.3% -1.6% -0.1%
# Output from previous execution
  Mean OLS Random Forest NN
OOS-Rsquared 0.0% -6.8% -17.2% -69.2%
Corr. between forecast and target -6.9% 4.7% -15.2% -9.7%
../_images/12125398086d40b6746fe879c5ecd3ae31f9566301b0e30cd15b689d68cc867e.png ../_images/cabd18024b40840451906a886a5e15064a5d8507d068b9efca8d8e0ff6d188f9.png ../_images/d5d4452291de417df31446b1af417ae4d6bead2fa172a82490b1915977f257c9.png ../_images/73fbba2b09be0ee44306e4ece43d26e0b9b34d08955e32b970aed2a16a240228.png
  Mean Vol Sharpe Min Max
Passive 9.1% 15.1% 60.3% -16.5% 12.7%
Mean 9.2% 14.5% 63.7% -15.8% 12.5%
OLS 6.6% 15.3% 43.0% -20.9% 20.6%
Random Forest 1.5% 15.5% 9.6% -22.8% 16.5%
NN 2.6% 15.0% 17.2% -23.8% 15.9%
  Skewness Kurtosis VaR (0.05) CVaR (0.05) Max Drawdown Peak Bottom Recover Duration (to Recover)
Passive -50.4% 79.9% -7.7% -9.5% -50.8% 2007-10-31 2009-02-28 2012-03-31 1613 days
Mean -47.9% 71.7% -6.9% -8.9% -47.2% 2007-10-31 2009-02-28 2012-08-31 1766 days
OLS -59.1% 654.2% -5.7% -11.2% -43.5% 2007-10-31 2011-09-30 2014-05-31 2404 days
Random Forest -132.2% 704.1% -7.3% -13.2% -63.6% 2000-03-31 2012-05-31 2018-08-31 6727 days
NN -112.0% 757.2% -6.1% -11.8% -56.6% 2000-03-31 2002-11-30 2014-10-31 5327 days
  alpha SPY r-squared Treynor Ratio Info Ratio
Passive 0.00% 1.00 100.00% 9.13%
Mean 0.54% 0.95 98.90% 9.70% 35.70%
OLS 1.27% 0.58 33.10% 11.31% 10.12%
Random Forest -2.94% 0.48 22.47% 3.06% -21.59%
NN -0.44% 0.33 11.14% 7.80% -3.11%