This is a summary of links featured on Quantocracy on Tuesday, 05/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Performing Value Strategies – Part 1 [Quantpedia]Value strategies attempting at determining a fair value of an asset are one of the first-ever employed strategies in the markets. We all know about Benjamin Graham and Warren Buffet that are one of the best known examples of Value pioneers. Since then, however, Value strategies have evolved enormously. Value strategies have become a cornerstone of almost every factor portfolio, due to their
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Risk Parity & Rising Rates [Factor Research]Risk parity strategies have become available via mutual funds and ETFs, but portfolio construction varies Rising interest rates are seen as a threat and recent performance was disappointing However, rising correlations between stocks and bonds would be more concerning INTRODUCTION Risk parity has been challenged ever since the worlds central banks have brought interest rates to approximately