This is a summary of links featured on Quantocracy on Thursday, 03/31/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Are Stock Market Bubbles Identifiable? [Alpha Architect]We can define an investment bubble as an irrational strong price increaseimplying a predictable strong decline. The efficient market hypothesis (EMH) implies both the absence of bubbles and that the future return is unpredictable. In his Nobel Prize lecture, the father of the EMH, Eugene Fama stated: The available research provides no reliable evidence that stock market price declines are
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Yield Curve Inversions and SPX Returns [Quantifiable Edges]There has been a lot of talk recently about yield curve inversions and whether that means a recession is on the way, and how soon? And if there is a recession, will there also be a bear market? I decided to forget about economic forecast and just look at how the SPX did after a curve inversion. I looked at both the 2yr/10yr and the 3mo/10yr combinations. For the study I used Norgate Data, and
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Mutual Fund Returns vs Investor Returns [Quant Dare]It is well known that we investors are full of biases when making investment decisions (loss-aversion, trend-chasing, ), but what is the real impact of these biases on our performance? In this post we will try to answer this question quantitatively, and we will also compare the average investor returns with the average mutual funds returns. Do you want to know how good is the investors