This is a summary of links featured on Quantocracy on Monday, 01/23/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pairs Trading in the Equities Entity Store [Jonathan Kinlay]An extract from the chapter on pairs trading from my forthcoming book Equity Analytics
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What Are Growth Stocks? [Finominal]Growth stocks can be defined via valuations, fundamentals, or performance These stocks have generated essentially zero excess returns since 2005 Neither has the inverse basket (low valuations, low growth, low momentum) INTRODUCTION When Yale history professor Sherman Kent interviewed 23 NATO officers on their interpretation of probabilistic words in 1964, the results were surprising and
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Research Review | 20 Jan 2023 | ETFs and Related Strategies [Capital Spectator]Do Sector ETFs Outperform Treasury Bills? Gow-Cheng Huang (Tuskegee U.) and Kartono Liano (Mississippi State U.) June 2022 Unlike individual stocks, more than 67% of sector ETFs have lifetime buy-and-hold returns that are higher than the T-bill rates. Thus, the majority of sector ETFs outperform T-bills. However, less than 26% of sector ETFs have lifetime buy-and-hold returns that are higher than
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Mitigating Risks with Factor Strategies [Alpha Architect]The year 2022 was a difficult one for investors in traditional 60/40 portfolios, as equities all around the globe and bonds produced double-digit losses, a very rare event. Can factor strategies mitigate risk? That performance has heightened interest in the diversification benefits of factor-based strategies. Redouane Elkamhi, Jacky Lee and Marco Salerno contribute to the literature with their