Sam is a former UK government economist and researcher at the IFS. He spent nine years studying economics at top academic institutions, including the University of Cambridge, and guest lectures in quantitative methods. At Macro Hive, he leads on developing economic forecasting models, integrating ML methods with traditional econometric analysis. In a past life, Sam represented Great Britain at a European and World level in swimming.
Monetary Policy & Inflation | US
Antonio Del Favero, Dominique Dwor-Frecaut, Richard Jones, Sam van de Schootbrugge
Market Pricing The market is pricing a 29% probability of a Fed cut in March and two cuts by 2025. UST Market Technicals A fortnight ago, our US Rates Technical Report (USRTR) showed technicals across the curve were oversold in all the UST futures contracts. Yesterday’s USRTR showed technicals are now a lot cleaner than […]
Sam van de Schootbrugge
The summer months are upon us. This means fewer office distractions and fewer short-term deadlines, creating the ideal opportunity for researchers to get stuck into meatier projects. In academia, this summer lull brings in a surge of publications in the months that follow (Chart 1).
Sam van de Schootbrugge
A Review of Financial Studies paper examines the pitfalls of mean-variance portfolio optimisation. It confirms a well-known result - historical sample moments are suboptimal proxies for true means and variances, and that optimisation methods estimating these past values have poor forecasting performance.
Sam van de Schootbrugge
A new paper in the highly rated Review of Financial Studies journal explains how momentum profits are strongly linked to the performance of winners and losers during the formation period.
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