It is found that partial correlations between 12 major US equity sector ETFs conditioned on the state of economy (mimicked here by the S&P 500 index) are significantly lower than the Pearson's correlations. The Markowitz mean-variance portfolio theory is modified in terms of partial covariance....

We discuss various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted return and loss of the trading strategy. We consider two long portfolios hedged by the SPDR S&P 500 ETF (SPY) that mimics the S&P 500 index. The first portfolio...

A news-based model (NBM) in which stock prices are determined by three types of news is proposed. The first type is non-diversifiable macroeconomic and geopolitical news. Their impact on prices is accounted using the total market return in the spirit of the CAPM. The second type is the equity...

Recently it was shown that the news-based stock pricing model (NBSPM) outperforms the momentum-enhanced five-factor Fama-French model (FF5M) for a representative list of holdings of the major US equity sector ETFs both in-sample (Schmidt 2023) and out-of-sample (Schmidt 2022). The leading term...