This is a summary of links featured on Quantocracy on Thursday, 01/19/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Return Stacking in an Inverted Yield Curve Environment [Flirting with Models]When we first started publicly writing and talking about capital efficiency in 2017 the predecessor conversation to return stackingTM the 13-week U.S. Treasury Bill rate sat around 1.30%. The prototypical example at the time was a 1.5x levered 60% stock / 40% bond portfolio (also referred to as a 90/60). Such a portfolio would allow investors to achieve the exposure of a 60/40 using
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How earnings reports affect stocks? [Quant Dare]Surely everyone has suffered/enjoyed a sudden movement of a stock in a portfolio when the underlying company has reported earnings. Now that the earnings report season is starting you may wonder if there exists a way to avoid those shocks in the stocks without missing performance in your investments. How often are earnings shocks? In order to analyse the impact of the earnings publication in the