This repository is meant to hold a sample of the research I have done.
Often times, the data or information I have access to through my job will be proprietary which means the majority of research that I post here will actually be a small subset of the work that was done.
With that said, the research posted here is intentionally public and free of conflicts. So feel free to use whatever research you find useful.
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Inflation and Growth Research
- The Jupyter notebook uses the CPI and Industrial Production data to create surpise indices. The CPI and Industrial Production forecasts are from the Philadelphia Federal Reserve's Survey of Professional Forecasts which have historical economist estimates of many macroeconomic indices. This notebook also compares future expectations of macroeconomic indices derived from the past 12 month trend of the index.
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Asset Class Relationships with Growth Inflation
- The Jupyter notebook uses the data from Inflation and Growth Research to assess the relationship of major asset classes with Growth and Inflation surprises.
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Levered ETFs
- In this notebook I examine the expected returns of a levered compounded process that is meant to represent levered etfs. I then analyze the empirical returns of levered etfs to see if they match the returns of levered indices.
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Diversified Beta
- I create a simple, diversified, and levered portfolio meant to be used for personal accounts. I show the research and historical results of a diversified portfolio of levered ETFs.