Tony Yiu
Jan 7, 2021

--

"We apply regression over three time horizons to correspond to the trailing one, three, and five years. We then use the average of the regressions’ residuals to adjust our estimates up or down."

Enjoyed the post. What's the regression that you ran to adjust the implied returns?

--

--

Tony Yiu
Tony Yiu

Written by Tony Yiu

Data scientist. Founder Alpha Beta Blog. Doing my best to explain the complex in plain English. Support my writing: https://tonester524.medium.com/membership

Responses (1)