This is a summary of links featured on Quantocracy on Tuesday, 09/04/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Timing Equity Returns Using Monetary Policy [Flirting with Models]Can the monetary policy environment be used to predict global equity market returns? Should we overweight/buy countries with expansionary monetary policy regimes and underweight/sell countries with contractionary monetary policy regimes? In twelve of the fourteen countries studied, both nominal and real equity returns are higher (lower) when the central banks most recent action was to cut (hike)
Chasing Mutual Fund Performance [Factor Research]Mutual funds exhibit momentum when measured by their one-year performance Momentum disappears when more reasonable fund selection criteria are applied Performance does not seem effective for fund selection for a full market cycle CHASING PERFORMANCE Chasing mutual fund performance suffers from a bad reputation these days. Of course, perspectives change all the time in finance. What was once
PPI and the Stock Market [CXO Advisory]Inflation at the producer level (derived from the Producer Price Index PPI) is arguably an advance indicator for inflation downstream at the consumer level (derived from the Consumer Price Index CPI). Do investors therefore reliably react to changes in PPI as an indicator of the future wealth discount rate? In other words, is a high (low) producer-level inflation rate bad (good) for the