This is a summary of links featured on Quantocracy on Monday, 03/02/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Last Week (Painfully) Illustrated the Importance of Non-Binary Portfolios [Allocate Smartly]This is one of my favorite takes of the last week. It was tweeted on Friday, which held two distinctions: (1) It capped off a helluva scary week, and (2) It just so happened to be month-end, when many TAA strategies trade by default. I couldnt agree more. Imagine making a single risk on/risk off decision with your entire portfolio in the face of Armageddon. Thats how a lot of strategies
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How do Institutional Investors approach Climate Risks? [Alpha Architect]Private and public companies face direct costs related to three types of climate risks: physical (i.e. extreme weather), regulatory (i.e. policies and regulations implemented to combat climate change), and technological (i.e. electric or fuel-cell-powered vehicles could disrupt traditional car manufacturers). These risks to portfolio companies have the potential to adversely affect the returns
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Volatility vs Risk – Revised [Two Centuries Investments]Given the increasing drawdown in the market, it seems prudent to revisit the notion of volatility vs risk. See original post here. 1) To recap, in case you just got back from a 10 day silent mediation retreat, S&P500 peaked on Feb 19th 2020, and has been in pretty much a free-fall since then, down almost 13%. Unless you were massively short the market, these ten days did not feel good. 2) That
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Domestic Fixed Income Factor Implementations [Flirting with Models]Prior academic and practitioner research suggests that factor-based fixed income investing can create attractive return profiles and be useful when building fixed income portfolios. Using an investment universe of eight domestic fixed income asset classes, we build dollar-neutral long-short portfolios targeting Value, Momentum, and Carry factors using both single-metric definitions and
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ESG vs Low Carbon Investing [Factor Research]ESG and Low Carbon portfolios feature significant, but different sector & country biases Investors should expect large tracking errors in some ETFs Some products contain stocks that are likely unexpected and undesired INTRODUCTION Investors seeking exposure to global equities with a low carbon footprint could consider the iShares MSCI ACWI Low Carbon ETF (CRBN) or SPDR MSCI ACWI Low Carbon ETF