Cape selections
27
CAPE Studies June 15, 2015
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Transcript of Cape selections
CAPE Studies
June 15, 2015
Trades
Month by Month
Issue by Issue
Relative Monthly Performance
Overall Relative Performance
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