Quantocracy’s Daily Wrap for 08/10/2022

We were recently asked what we thought about bonds as an investment. A lot of this was inspired by my comments on bonds via a discussion on how I personally invest. Ill repost what I said on bonds below: What are your thoughts on bonds and commodities? In general, Im not a fan of corporate bonds as a buy-and-hold asset class. Outside of treasury bonds, most bonds earn lower returns than

What are the research questions? Theories abound in the financial literature explaining the drivers of momentum and reversal in one way or another. Not surprisingly, most portray the role of public and private information as key to the underlying relationships and weigh the type of information differently. For example, if the driver of momentum is a fundamental underreaction to public information,

There has been a boom in launching tactical asset allocation ETFs However, the recent track record of these has been poor Declining stock and bond markets have created a challenging environment for these INTRODUCTION Most investment strategies become popular through short rather than long periods, simply because no strategy works all the time. The longer the track record, the more explanation is

Combining Factors Christoph Reschenhofer (Vienna University of Economics and Business) July 2022 While the academic literature primarily investigates factor exposures based on covariances (i.e. beta exposure), most practitioners apply characteristics-based scorings to obtain factor portfolios. It hereby remains largely unexplored how firm-level characteristics can be combined to obtain optimal

A new theoretical paper illustrates the logic behind runs and crashes in modern safe asset markets. Safe assets are characterized by stable value and high liquidity. In times of distress flight for safety increases demand for these assets, while dash for cash increases supply. However, these two are not generally in balance. If the need for liquidity is expected to dominate and dealer