This is a summary of links featured on Quantocracy on Friday, 06/09/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The Bogle Model for Bonds: Predicting the Returns of Constant Maturity Government Bond ETFs [Portfolio Optimizer]In his original 1991 article Investing in the 1990s1, John Bogle described a simple model to help investors setting reasonable expectations for long-term U.S. government bond returns. This model relies on what Bogle describes as the single most important factor in forecasting future total returns [of a government bond], which is the the initial yield to maturity. In this post, I will describe