This is a summary of links featured on Quantocracy on Friday, 05/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Research Review | 5 May 2017 | Forecasting [Capital Spectator]Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability Alexey Ivashchenko (University of Lausanne) May 4, 2017 The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this finding. Once I project spreads on these two risk factors, which
Sell in May Over the Long Run [CXO Advisory]Does the conventional wisdom to Sell in May (and Buy in November, hence also the term Halloween Effect) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check, we turn to the long run dataset of Robert Shiller. This data set includes monthly levels of the S&P Composite Index, calculated as average of daily
Wisdom State of Trend Following in April [Wisdom Trading]April 2017 Trend Following: DOWN -1.35% / YTD: -11.65% April was another down month for the Wisdom State of Trend Following, with the index already in double-digit territory, on the negative side, for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann.