This is a summary of links featured on Quantocracy on Friday, 06/10/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-Following in the Times of Crisis [Quantpedia]When someone mentions a financial crisis, most people immediately think of the global financial crisis of 2007-2008. Even though this is the most significant economic crisis in recent years, there have been many more significant crisis periods in the past 100 years. This article examines the biggest crises in three asset classes: stocks, bonds, and commodities, during the past century.
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The Unintended Consequences of Single Factor Strategies [Alpha Architect]Since the 1992 publication of The Cross-Section of Expected Stock Returns by Eugene Fama and Kenneth French factor-based strategies and products have become an integral part of the global asset management landscape. While top-down allocation to factor premiums (such as size, value, momentum, quality, and low volatility) has become mainstream, questions remain about how to efficiently
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Research Review | 10 June 2022 | Risk Premia Sources [Capital Spectator]Inflation as the Source of the Bond, Equity, and Value Premia Martin Tarlie (GMO) May 2022 A no-arbitrage pricing model with inflation as the only priced risk factor explains the bond, equity, and value premia observed in the United States over the past sixty years. Even though inflation is the only priced factor, in an economy with three state variables inflation, the real rate, and corporate