This is a summary of links featured on Quantocracy on Sunday, 01/29/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Couple of New Interesting Developments Concerning the Global Growth Cycle Strategy [Grzegorz Link]A couple of new and interesting developments concerning the Global Growth Cycle strategy are available: – first of all, what I've called an important test of the strategy from 2021/22 apparently went well. The ensuing bear market of 2022 has been largely avoided by positioning per the GGC. The risk-off signal from December 2021 appeared to be perfect timing, though keep in mind that
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Trading Anomalies [Jonathan Kinlay]An extract from my new book, Equity Analytics.
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Annualizing volatility [Quant Dare]Volatility is one of the best known and most widely used concepts in finance. Given a price series of a financial instrument, its volatility is defined as the dispersion of the returns. This measure is used to compare securities in terms of risk. But in order to compare, sometimes it is necessary to scale. In this post we explain the mathematical foundation of the annualized volatility. Anybody
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Fiscal policy criteria for fixed-income allocation [SR SV]The fiscal stance of governments can be a powerful force in local fixed-income markets. On its own, an expansionary stance is seen as a headwind for long-duration or government bond positions due to increased debt issuance, greater default or inflation risk, and less need for monetary policy stimulus. Quantamental indicators of general government balances and estimated fiscal stimulus allow