This is a summary of links featured on Quantocracy on Monday, 09/25/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Code Walkthrough for Alpha Simulator: Simple Trend Rule with Vol Targeting [Hanguk Quant]In the last post we did a line-by-line walkthrough of the alpha simulator, using a uniform random variable to represent the signal generating component of the alpha backtest. We also raised a few questions: How can we manage the varying levels of risk profiles of different stocks in our asset universe at a snapshot in time? How can we manage the time varying levels of risk profiles of the entire
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The predictive power of real government bond yields [SR SV]Real government bond yields are indicators of standard market risk premia and implicit subsidies. They can be estimated by subtracting an estimate of inflation expectations from standard yields. And for credible monetary policy regimes, inflation expectations can be estimated based on concurrent information on recent CPI trends and the future inflation target. For a data panel of developed markets
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R&D stocks – do asset pricing models do them justice? [Alpha Architect]Since the development of the CAPM, which explains about two-thirds of the variation of returns among diversified portfolios, academic research has attempted to find models that increase the explanatory power of the cross-section of stock returns. Models are not like cameras that provide an exact replica of the world. If models were perfectly accurate, they would be laws, like we have in physics.
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Have Stock Markets Changed? [Finominal]Trading technology continues to make trading of stocks easier, cheaper, and faster However, despite this and other financial innovations like ETFs, the US stock market structure hasnt changed Likely explained by the fact that its core participants are unable to change INTRODUCTION Consider the following: The average holding period for an individual stock in the US was 5 years in the 1970s,