This is a summary of links featured on Quantocracy on Friday, 06/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Nervous About The Market? It Might Be Time for This Strategy [Meb Faber]When the tech bubble collapsed back in 2000, the Nasdaq fell from 5,132 to just 1,470 a few months later. Many popular stocks found their market prices gutted. For example, Cisco lost 86% of its market cap, while Amazon fell over 90% from $107 to $7. Losses such as these decimated investor portfolios. In 2008, it happened again. The average diversified U.S. stock fund fell a whopping 38 percent.
Research Review | 16 June 2017 | Yield Curve Analysis [Capital Spectator]Monetary Policy Uncertainty and Bond Risk Premium Fuwei Jiang (Central University of Finance and Economics) and Guoshi Tong (Renmin University) October 1, 2016 We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts
Active Share: Does it Predict Fund Performance? [Alpha Architect]The Holy Grail for mutual fund investors is the ability to identify in advance, which of the active mutual funds (or ETFs nowadays) will outperform in the future. The evidence suggests this task is almost impossible. To date, the overwhelming body of academic research has demonstrated that past performance not only doesnt guarantee future performance (as the required SEC disclaimer states), but