This is a summary of links featured on Quantocracy on Monday, 01/29/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replacing the 40 [Return Sources]The 60/40 portfolio (60 percent stocks, 40 percent bonds) has become such a classic, that for many investors, the word portfolio means 60/40 by default. Looking at the past few decades, its easy to see why this is the case. Stocks, (or at least U.S. stocks), have had outstanding performance. Since stocks are much more volatile than bonds, the vast majority of the returns to 60/40 come
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Institutional portfolio managers – better at buying or selling? [Alpha Architect]What are the Research Questions? This paper examines the decisions of sophisticated market participants experienced institutional portfolio managers (PMs) and the authors ask the following questions: Is there a significant difference in performance between buying and selling decisions made by institutional PMs? Is there an asymmetric allocation of limited cognitive resources towards buying
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Monte Carlo Simulations: Forecasting Folly? [Finominal]Financial advisors primarily use Monte Carlo simulations to forecast returns However, this methodology is flawed as it ignores the valuations of asset classes Using capital market assumptions is likely a better approach INTRODUCTION The Shanghai Composite Index (SSE) was booming in early 2015, and as it soared, legions of new investors rushed in to try their luck at securities speculation.