This is a summary of links featured on Quantocracy on Saturday, 05/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Index Funds Reimagined? [Flirting with Models]In Reimagining Index Funds (Arnott, Brightman, Liu and Nguyen 2023), the authors propose a new methodology for forming an index fund, designed to avoid the buy high, sell low behavior that can emerge in traditional index funds while retaining the depth of liquidity and capacity. Specifically, they propose selecting securities based upon the underlying economic footprint of the
-
Gold as a Safe-Haven Asset [Alpha Architect]Abstract: In times of extreme macroeconomic events, including war, hyperinflation, or significant economic recessions, many investors believe gold investing is a safe haven. Is that belief warranted? Investors have concerns about the increased risks of inflation and a recession, Congress ability to increase the debt limit (failing to do so could lead to a default on government debt), and the
-
FX trend following and macro headwinds [SR SV]Trend following can benefit from consideration of macro trends. One reason is that macroeconomic data indicate headwinds (or tailwinds) for the continuation of market price trends. This is particularly obvious in the foreign-exchange space. For example, the positive return trend of a currency is less likely to be sustained if concurrent economic data signal a deterioration in the competitiveness