This is a summary of links featured on Quantocracy on Friday, 05/13/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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The 1-2 Punch of Major Losses in Both Stocks and Government Bonds [Allocate Smartly]This is a follow up to our previous post. Same subject, additional data. Both stocks and government bond funds have suffered major losses this year. Stocks and gov bonds form the core of most portfolios. Gov bonds tend to counterbalance risk assets, helping to smooth returns during periods of market stress. But so far this year, theyve failed to deliver when needed. Big drawdowns in risk assets
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Momentum Investing: What happens if we boot stocks over 10x P/S? [Alpha Architect]Short answer up frontvery little.(1) This was a simple question posed to me by one of our blog readerswhat impact does excluding stocks trading at 10x P/S have on a Momentum portfolio? A good questionespecially for those who are value investors that are interested in momentum. For most systematic value investors, the prospect of adding stocks trading at over 10x P/S sounds
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Institutions Trading Against Anomalies: Are Their Trades Informed? [Alpha Architect]Outperforming the market, before expenses, is a zero-sum gameif one group of active investors outperforms, another group of active investors must underperform. Is there a group of sophisticated investors who persistently exploit more nave investors? The body of research has found that before expenses, as a group, institutional investors outperform. For example, in his study Mutual Fund