This is a summary of links featured on Quantocracy on Sunday, 09/25/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Use pandas DateOffsets for easy date manipulation [Wrighters.io]So much useful data has a date or time component. Often, data has a timestamp to represent when the data was acquired, or when an event will take place, or as an identifying attribute like an expiration date. For this reason, understanding how to work with dates and times effectively can be a very useful skill. One common need is to select dates (and times) using rules based on their offset from
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Inflation-Linked Bonds for Inflationary Periods? [Factor Research]Inflation-linked bonds are considered inflation-hedges However, these have lost almost as much as plain-vanilla bonds in 2022 The sensitivity to interest rates matters more than that to inflation INTRODUCTION Inflation is the biggest issue facing the U.S. and is more important to citizens than crime, health care, or immigration according to a Pew Research Centre survey from May 2022. Given
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Sector vs Factor-based Benchmark Selection [Factor Research]Manager-selected benchmarks are suboptimal as they are not free of conflict of interests Investors can use sectors to identify more appropriate benchmarks However, this ignores factors, which are better at explaining investment returns INTRODUCTION In our last research article (Mirror, Mirror on the Wall, which is the fairest Benchmark of them All?) we highlighted that investors can use factor