This is a summary of links featured on Quantocracy on Friday, 04/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
How Portfolio Construction Impacts the Reliability of Outcomes [Alpha Architect]We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies. 1 There are also plenty of incredibly talented systematic investing shops that build highly diversified factor portfolios with 500+ stocks. We take no stance on the "best" approach because there is no "best" approach: the reality is that each approach has costs and benefits. Our belief
-
How to Predict Asset Prices (and how not to) [Robot Wealth]If you have some factor that you think predicts future stock returns (or similar) and you are making charts like below, then here are some tips Well go through an example of trying to time SPX with the level of VIX. You get daily SPX index prices and daily VIX close data You align them by date and plot them on dual axes, in true RealVision style. SPX tends to go down when VIX is
-
Inflation and the Value Premium [Alpha Architect]The grand experiment of combining massive fiscal and monetary stimulus at a time when the economy is already recovering stronglythe Feds latest forecast for 2021 GNP growth is 6.5 percenthas led many investors to begin to worry about the risks of rising inflation. And strong growth is expected to continue well into next year. For example, the Philadelphia Federal Reserve First Quarter