This is a summary of links featured on Quantocracy on Monday, 04/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Government Bonds Have Failed to Deliver When Needed [Allocate Smartly]Most government bond funds have suffered major losses this year. What is worse is that those major losses have come when theyre needed most, when stocks and other risk assets are also falling. During times of market stress, gov bonds tend to act as a counterbalance to risk assets, but so far this year theyve failed to deliver when needed. Data dump: It has been 71 trading days since the
-
The Turbulence Index: Measuring Financial Risk [Portfolio Optimizer]One of the challenges in portfolio management is the timely detection of financial market stress periods, typically characterized by an increase in volatility and a breakdown in asset correlations1. Chow and al.2 propose to detect such periods through the usage of the caste distance, a measure initially introduced by Mahalanobis34 to classify human skulls in India and now commonly called the
-
How to use FX carry in trading strategies [SR SV]FX forward-implied carry is a valid basis for trading strategies because it is related to divergences in monetary and financial conditions. However, nominal carry is a cheap and rough indicator: related PnLs are highly seasonal, sensitive to global equity markets, and prone to large drawdowns. Simple alternative concepts such as real carry, interest rate differentials, and volatility-adjusted
-
Research Review | 15 April 2022 | Risk Factor Premia [Capital Spectator]A Look Under the Hood of Momentum Funds Ayelen Banegas and Carlo Rosa (Federal Reserve) February 2022 Momentum investing has surged over the past few years, with assets growing at three times the rate of conventional funds. Using a comprehensive dataset of US equity funds, this paper examines the economic value of momentum funds. Overall, we find that risk-adjusted returns of momentum funds are,