This is a summary of links featured on Quantocracy on Friday, 10/06/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Long-term Returns for US Treasury Funds Are Predictable: What Do We Do with That Information? [Allocate Smartly]Long-term returns for US Treasury bond funds with a constant maturity (like IEF, TLT and SHY) have been quite predictable simply using initial Treasury yields as an estimate. This observation was popularized by John Bogle. Heres an excellent recent look from Portfolio Optimizer. How predictable? Below weve shown the intial yield on 10-Year US Treasury notes since 1871 in blue, versus the
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International Value Stocks Offering “More Bang for the Buck” [Alpha Architect]Over the very long term, while value stocks have been less profitable and have had slower growth in earnings than growth stocks, they have provided higher returns. Among the reasons are that value stocks have traded at substantial valuation discounts compared to growth stocks, and reversion to the mean of abnormal (both abnormally high and abnormally low) growth in earnings has been greater than