This is a summary of links featured on Quantocracy on Thursday, 05/17/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Explaining the Demand for Higher Beta Stocks [Alpha Architect]The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, as Ive previously discussed, the historical evidence demonstrates that, while the slope of the security market line is generally positive (higher-beta stocks provide higher returns than low-beta stocks), it is flatter than the CAPM
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Is The Russell Breakout Likely To Spark A Rally In The SPX? [Quantifiable Edges]The new high in the Russell is notable, since it is the 1st major index to get there. But it does not necessarily mean the other indices will follow. In the study below I looked at SPX performance following instances of a fresh RUT breakout while SPX had still not broken out. 2018-05-17 Whether you are looking at % Profitable, Win/Loss Ratio, Profit Factor, or Avg Trade, the numbers here appear