This is a summary of links featured on Quantocracy on Thursday, 06/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Predicting US Treasury Returns [Allocate Smartly]This is a test of the paper Predicting Bond Returns: 70 Years of International Evidence. The authors use an ensemble model to trade US and international treasury bonds. Over the last 60+ years the strategy would have produced long-term returns in line with buy & hold, while significantly reducing short-term volatility and drawdowns, especially during the era of rising rates. Obviously, these