This is a summary of links featured on Quantocracy on Wednesday, 06/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Linking Attribution Factors [Quant Dare]In the business of performance measurement, a recurrent task is the breakdown of a stream of returns into meaningful contributions from different factors, in order to identify the driving financial forces or sources of risk. Eventually, these daily contributions have to be aggregated to explain the complete period performance or the divergence between two different streams of returns. This step is
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The Case against EM Equities [Factor Research]EM equities are highly correlated to US stocks & high yield bonds, limiting diversification benefits They outperform primarily when the USD is depreciating, making it a currency play The largest MSCI EM index members will experience 50% population declines INTRODUCTION Seeing latex slowly dripping out of rubber trees into wooden bowls on a plantation in Malaysia was a fascinating experience as
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Get Green or Die Trying? [Alpha Architect]In 2015, 197 nations signed onto the Paris Agreement and committed to limiting global warming to less than 2 degrees C above preindustrial levels. Although the arguments are compelling, the drive to manage carbon risk presents quite a challenge for individual investors and portfolio managers. Although ESG investing spans the gamut of environmental issues, the specific case of carbon risk is