This is a summary of links featured on Quantocracy on Thursday, 01/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio Strategies for Volatility Investing [Alpha Architect]The most basic tenet of financial theory is that risk and expected return are related. One widely used measure of risk is volatility. As far back as 1976, with the publication of Fischer Blacks Studies of Stock Price Volatility Changes, financial economists have known that volatility and returns are negatively correlated. This relationship results in the tendency to produce negative
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Factor Performance in Bull and Bear Markets [Quantpedia]Do common equity factors suffer during bear markets? Undoubtedly, the market factor is a rather unpleasant investment during bear markets, but what about the long-short factors? Are they able to deliver performance? The research paper by Geertsema and Lu (2021) provides several answers and interesting insights. Returns of value, profitability, investment, and momentum are highly positive and
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The Best Strategies for Dealing with Inflation? Factors and Trend-Following [Alpha Architect]Inflation whats that? It has been quite a while since inflation has been considered a problem. Today, however, the angst surrounding the possibility of a resurgence in inflation is real and top of mind for investors. If the current fear becomes a reality, how should investors react? What strategies and asset classes perform well in a rising inflationary environment? If inflation