This is a summary of links featured on Quantocracy on Monday, 04/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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What’s the Best Factor for High Inflation Periods? – Part I [Quantpedia]In the past couple of weeks, we have done a few event studies, analyzing events that in one way or another resemble what is happening in the world today. At the beginning of March, we examined Factor Performance in Cold War Crises, and at the end of March, we brought you an article analyzing Nuclear Threats and Factor Performance. Today we are going to look into factor performance during high
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Trend Following & Factor Investing – Unexpected Cousins? [Factor Research]Trend following and beta-neutral factor investing are considered diversifying strategies However, since 2009 their correlations to stocks moved in tandem Both strategies had related performance drivers and risk exposures INTRODUCTION Asset classes seem easy to distinguish at first. For example, stocks and corporate bonds provide different exposure to the capital structure of companies. However,
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Find Your Best Market to Trade With the Hurst Exponent [Raposa Trade]After five consecutive years of drought, Northern Californians welcomed the heavy rainfall in the winter of 2016-2017. By February, however, the rain had led many to worry about the integrity of the Lake Oroville Dam. Officials evacuated over 200,000 residents who lived downstream of the dam along the Feather River and engineers opened the emergency spillway. Soon, however, a small crack in the
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Shorting ETFs: A look into the ETF Loan Market [Alpha Architect]The growth of ETFs has been explosive (and we arent helping the matter via ETF Architect which facilitates low-cost high quality ETF white label services). At the end of 2020, there was roughly $5.4 trillion invested in ETFs in the United States, representing more than 25% of US market trading by daily volume in the recent decade (ICI Factbook, 2021). One of the many benefits of ETFs relative