This is a summary of links featured on Quantocracy on Saturday, 05/01/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Market Timing Using Aggregate Equity Allocation Signals [Alpha Architect]When it comes to predicting long-term equity returns, several well-known indicators come to mindfor example, the CAPE ratio, Tobins Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned indicators significantly when it comes to both forecasting and tactical asset allocation. That indicator, known
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Research Review | 30 April 2021 | Interest Rates & Yield Curves [Capital Spectator]Forecasting Bond Risk Premia using Stationary Yield Factors Tobias Hoogteijling (Robeco Asset Management), et al. April 12, 2021 The standard way to summarize the yield curve is to use the first three principal components of the yield curve, resulting in level, slope and curvature factors. Yields, however, are non-stationary. We analyze the first three principal components of yield changes, which