This is a summary of links featured on Quantocracy on Tuesday, 05/30/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Our Take on “The Single Greatest Predictor of Future Stock Market Returns” [Allocate Smartly]Readers have asked for our take on the single greatest predictor of future stock market returns, aka the Aggregate Investor Allocation to Equities. This indicator was first shared by Philosophical Economics back in 2013, and recently resurrected by Portfolio Optimizer (two excellent sites you should be following). A very brief primer: The Aggregate Investor Allocation to Equities (AIAE)
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Alpha Generation: Equity Generalists vs Sector Specialists [Finominal]Neither equity generalists nor sector specialists have generated alpha on average There is no consistency in alpha generation by either type of fund manager The most consistent alpha generators produced no alpha out-of-sample INTRODUCTION When I joined Citigroup as an analyst in their mergers & acquisitions department in 2005, my career trajectory was to either become a sector specialist or a