Quantocracy’s Daily Wrap for 06/11/2018

The paper investigates this issue by answering the following research questions: Are commodities returns positive on average? How do they vary in different economic states (backwardation/contango; expansion/recession periods; unexpected inflation) ? How have they contributed to a broad portfolio? What are the Academic Insights? By studying a novel dataset consisting of daily futures prices going

From 1950 to 2018 the S&P 500 performed best from November to April, and significantly worse from May to October during most years. From 1950-2018 the real annualized return for the S&P 500 was 6.71%. Had one only invested from November to April each year the return would have been 6.60%, almost the same. Investing in a money-market fund from May to October each year and the remaining time

A siren was a mythological being who lured sailors with their enchanting music to shipwreck on the rocky coasts of their island. Their songs were almost impossible to resist. But more generally a siren is a bad thing that we are attracted to, either physically or psychologically. For investors, an example of a sirens song is simplicity. Many investors are prone to looking for just a few

Value investing continues to experience a trough of sorrow. In particular, the traditional price-to-book factor has failed to establish new highs since December 2006 and sits in a 25% drawdown. While price-to-book has been the academic measure of choice for 25+ years, many practitioners have begun to question its value (pun intended). We have also witnessed the turning of the tides against the

Skewness is a feature of stocks with high firm-risks Stocks with positive or negative skewness outperform the market Can partially be explained by the Size factor INTRODUCTION Many investors started their investment career at an early age, typically buying a stock that showed an enticing performance chart, was featured somewhere or recommended by a family member. Moving to a professional