This is a summary of links featured on Quantocracy on Monday, 06/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Vol targeting: A CA(g)R race [Investment Idiocy]Regular listeners to the podcast I ocasionally co-host will know that I enjoy some light hearted banter with some of my fellow podcasters, many of whom describe themselves as 'pure' trend followers, whilst I am an apostate who deserves to be cast into the outer darkness. My (main) sin? The use of 'vol targeting', an evil methodology not to be found in the original texts of
-
Slava Ukraini! Latest from Only VIX, Quantocracy contributor in Ukraine: Curious Periodicity Of VIX Index [Only VIX]I was browsing LinkedIn the other day and saw a bar chart of annual average VIX levels, and noticed that they kind of go up and down as if it was a cycle. Intra-day effects of elevated volatility near open and close are well-known, as well as some day-of-week patterns. Seasonal effects of VIX are also obvious – the index tends to be low during summer months, and rise in the autumn months. However
-
Stock Market Valuation and Impact of Inflation [Light Finance]If 2022 has taught us anything, it is that our understanding of the inflationary process is woefully incomplete. Increasingly, it seems that the easy money era of the 2010s created a blind spot in the market: stable inflation and ample liquidity were taken for granted. The risk of high (indeed, very high) inflation was deeply discounted which resulted in a significant misallocation of investor
-
Defensive & Diversifying Strategies in YTD 2022 [Factor Research]Most defensive and diversifying strategies generated negative returns in YTD 2022 The correlation of almost all of these strategies to equities was too high Only managed futures generated attractive diversification benefits INTRODUCTION Economics and investing are all about data, eg GDP has increased by 1.5% this quarter, the stock market is down 10% this month, and so on. However, despite numbers