Lecture Charts
29 static PDF charts from the Bantleon Methods lecture. Click any thumbnail to open the full PDF.
Introduction & Motivation
00. Lecture Roadmap
Overview of topics and structure
01. Return Estimation Error
Sample mean vs true mean uncertainty
01b. Estimation Error Simulation
Monte Carlo demonstration
01c. Methods Comparison
M1 vs M2 vs Hybrid overview
Factor Model
02. Factor Decomposition
r = B*f + epsilon breakdown
02b. Beta-Lambda Scatter
Asset betas vs implied returns
02c. Calibration Concept
How lambda is calibrated
02d. Rolling R-Squared by Asset
Time-varying explanatory power
02e. Beta Stability Bands
Factor loading stability over time
Calibration Methods
Two complementary approaches for estimating implied risk premia: market-based (M1) using yield curve data, and historical (M2) using weighted factor returns.
Method 1: Market-Based
03. Method 1 Projection
Bond yield spread calibration
03b. Inverted Yield Curve
Special case handling
Method 2: Historical
Regime Detection
05. R-Squared Distribution
Historical R-squared values
05b. Bond vs Equity R-Squared
Asset class comparison
Method Comparison
06. Method Comparison Scatter
M1 vs M2 implied returns
06b. Lambda M1 Time Series
Market-based lambda over time
06c. Lambda M2 Time Series
Historical lambda over time
06d. Lambda Ratio Regime
M1/M2 ratio as regime indicator
Results & Validation
07. Method 1 Results
M1 implied returns output
07b. Method 2 Results
M2 implied returns output
07c. Final Comparison
Side-by-side method results
07d. Predicted vs Realized
Forecast accuracy scatter
07e. Cumulative Outperformance
Strategy performance over time
07f. Regime Switch Signals
M1/M2 switch timing
