cape selections
TRANSCRIPT
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CAPE Studies
June 15, 2015
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Trades
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Month by Month
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Issue by Issue
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Relative Monthly Performance
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Overall Relative Performance
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Different Sell Rules
• Various rules tried so far:– Different ROC values– ROC of CAPE– CAPE % pullback from a high X days ago
• Results for all– No CAR improvement– Drawdowns worsened
• Others rules to try