Research topic41 readings
Portfolio and market context
Portfolio and market context methods with explicit inputs, outputs and limits.
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Subtopics
Portfolio construction
Portfolio construction within portfolio-and-market-context.
18 readingsIntermarket and spreads
Intermarket and spreads within portfolio-and-market-context.
17 readingsOptions and volatility
Options and volatility within portfolio-and-market-context.
2 readingsSeasonality and regimes
Seasonality and regimes within portfolio-and-market-context.
4 readingsThe registry
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The archive41 readings
Readings on this topic
1988A two-rule classroom book of cheapness and new highs1989Path quantiles versus net return for index velocity regimes1990Build a weekly leading sector composite from scaled transports and financials1995Market z-score residuals for style pair construction1995Read one equity position on a joint yield-regime card1996Annual normalized-yield rank rotation for cyclical sleeves1996Value filter then rank-rotate as one procedure1997Dow high-yield rank rotation as a testable portfolio procedure1998Low relative P/E plus a trendline reversal for regime-aware stock selection1998Rank rotation, value screens, and ten-stock diversification2001Constructing pair spreads with z-score triggers2001Earnback period ranking for growth-adjusted screens