Exploit Difference Between Positive and Negative Market States?
July 26, 2023 - Equity Premium
With monthly market state specified as positive (negative) when prior-month market excess return relative to U.S. Treasury bill (T-bill) yield is positive (negative), “Equity Factor Performance Following Positive and Negative Market Returns” reports that average monthly market excess return is 0.83% (10.0% annualized) positive market states and 0.05% (0.6% annualized) for negative states during August… Keep Reading