This is a summary of links featured on Quantocracy on Saturday, 02/08/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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SHARPEn your portfolio [OSM]In our last post, we started building the intuition around constructing a reasonable portfolio to achieve an acceptable return. The hero of our story had built up a small nest egg and then decided to invest it equally across the three major asset classes: stocks, bonds, and real assets. For that we used three liquid ETFs (SPY, SHY, and GLD) as proxies. But our protagonist was faced with some
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Tracking investor expectations with ETF data [SR SV]Retail investors return expectations affect market momentum and risk premia. The rise of ETFs with varying and inverse leverage offers an opportunity to estimate the distribution of such expectations based on actual transactions. A new paper shows how to do this through ETFs that track the S&P 500. The resulting estimates are correlated with investor sentiment surveys but more informative.