This is a summary of links featured on Quantocracy on Friday, 01/14/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quality Factor in Sector Investing [Quantpedia]In general, a factor is described as a characteristic that can be associated with a group of assets, and it helps to explain their returns and risks. As noted in the literature focusing on CAPM, the market itself can be viewed as the primer and most significant equity factor. Besides the market factor, academics generally look for persistent factors over time with solid explanatory power over a
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SP-500 Seasonality [Alvarez Quant Trading]Ive been seeing lots of seasonality type charts on the S&P500 where they take the average return for each day of the year and then create a return curve for the year. The chart often shows the sell in May and buy in November flatness of the returns. And then the holiday end of the year run up. Steven, my trading buddy, sent me yet another chart and I noticed something I had not seen
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Research Review | 14 January 2022 | Inflation [Capital Spectator]The Time-Varying Relation between Stock Returns and Monetary Variables David G. McMillan (University of Stirling) November 2, 2021 The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time and this
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Factor Investing in Sovereign Bond Markets [Alpha Architect]In our 2016 book Your Complete Guide to Factor-Based Investor Andrew Berkin and I recommended that due to the risks of data mining (or p-hacking)researchers torture the data until it confessesfor you to consider investing in a factor it should have demonstrated a premium that was: persistent across long periods of time and economic regimes; pervasive across asset classes and around the