This is a summary of links featured on Quantocracy on Tuesday, 02/25/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Assessing The Damage After Monday s Sharp Decline In Stocks [Capital Spectator]Well, that was painful. The increasingly hazy risk outlook linked to the coronavirus outbreak inspired a 3.35% haircut in the US stock market (S&P 500). The tumble was certainly a bracing counterpoint to the idea that sunny optimism is the only game in town. But before we let recency bias flip to the opposite extreme, lets review where we stand after yesterdays smackdown. Yesterdays
Macroeconomic Risks in Equity Factor Investing: Part 2/2 [Alpha Architect]What are the research questions? Although not a new topic, the first half of the article explored and documented the dependent relationship between factor returns and time-varying macroeconomic environments. In the second half of this paper, the authors provide insightful commentary and a renewed perspective on the potential for diversification across factors through the lens of assessing