This is a summary of links featured on Quantocracy on Tuesday, 06/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Is Managed Futures Value-able? [Flirting with Models]In Return StackingTM: Strategies for Overcoming a Low Return Environment, we advocated for the addition of managed futures to traditionally allocated portfolios. We argued that managed futures low empirical correlation to both equities and bonds and its historically positive average returns makes it an attractive diversifier. More specifically, we recommended implementing managed futures as an
-
Index Replication: avoid the negatives! [Alpha Architect]There are several significant, well-documented benefits of index funds. In addition to outperforming a large majority of actively managed funds, they tend to have low fees, low turnover (resulting in low trading costs and high tax efficiency), broad diversification, high liquidity, and near-zero tracking error (generally assumed to mean that they incur negligible trading costs). However, there are
-
Merchandise import as predictor of duration returns [SR SV]Local-currency import growth is a widely underestimated and important indicator of trends in fixed-income markets. Its predictive power reflects its alignment with economic trends that matter for monetary policy: domestic demand, inflation, and effective currency dynamics. Empirical evidence confirms that import growth has significantly predicted outright duration returns, curve position returns,
-
Preferential Times for Preferred Income Strategies? [Finominal]Preferred income funds offer exceptionally high yields However, the higher the yield, the lower the total return The diversification benefits of these funds were limited INTRODUCTION Although the job of a stock analyst is not easy, fixed-income analysts have it arguably harder. Sure, there might be multiple share classes for a few stocks like Alphabet or Berkshire Hathaway, but equity is perpetual