This is a summary of links featured on Quantocracy on Monday, 08/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Harvesting the Bond Risk Premium [Flirting with Models]The bond risk premium is the return that investors earn by investing in longer duration bonds. While the most common way that investors can access this return stream is through investing in bond portfolios, bonds often significantly de-risk portfolios and scale back returns. Investors who desire more equity-like risk can tap into the bond risk premium by overlaying bond exposure on top of
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Low Vol Factor: From Obscurity to Stardom [Factor Research]Given the popularity of Low Volatility, investors might expect structural shifts in the factor characteristics Betas, valuations, sector biases, interest rate sensitivity, and factor exposures are highly time-varying Although these are worth monitoring from a risk perspective, none seem particularly concerning currently INTRODUCTION Germans call a product or service that solves all problems
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Should Investors Care About “the Way Things Are Going”? [CXO Advisory]Are broad measures of public sociopolitical sentiment relevant to investors? Do they predict stock returns as indicators of exuberance and fear? To investigate, we relate S&P 500 Index return and 12-month trailing S&P 500 price-operating earnings ratio (P/E) to the percentage of respondents saying yes to the recurring Gallup polling question: In general, are you satisfied or