This is a summary of links featured on Quantocracy on Sunday, 03/19/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Avoid Equity Bear Markets with a Market Timing Strategy Part 3 [Quantpedia]In the last third installment, we will finish exploring the world of market timing strategies (see parts 1 & 2). We will focus on yield curve predictors and incorporate all three ideas (price-based, macro-economic, and yield curve predictors) into one final trading strategy that yields an annual return above that of the stock market while doubling its Sharpe ratio and reducing maximal drawdown
-
R & D, Expected Profitability, and Expected Returns [Alpha Architect]Since the development of the CAPM, academic research has attempted to find models that increase the explanatory power of the cross-section of stock returns. We moved from the single-factor CAPM (market beta) to the three-factor Fama-French model (adding size and value), to the Carhart four-factor model (adding momentum), to Lu Zhangs q-factor model (beta, size, investment, profitability), to