This is a summary of links featured on Quantocracy on Wednesday, 10/19/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Best Defensive Asset Class [Allocate Smartly]In this post we look at what major asset classes have proven to be the best defensive choice in months when the market has fallen over the last 50+ years. Well look at multiple government and corporate bond assets, diversified commodities, gold and the US dollar. The results? As expected, a mixed bag. Investors who blindly assumed any defensive asset was a sure thing in times of market stress
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Stock-Bond Correlation, an In-Depth Look [Quantpedia]The recent surge in global inflation sent shock waves across financial markets and affected the complicated relationship between stocks and bonds. Today, we would like to present you with a review of two interesting papers, which provide both a deep and easy-to-understand examination of the correlation structure of those two main asset classes. The first paper reviews specifics in various parts of
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Causality: interest rates and fixed income assets [Quant Dare]The blog has previously addressed interest rates in a post that splits the yield rate curve into three relevant components. This time this post tries to identify the influence of interest rates on fixed income assets by using the Granger causality test. Interest rates obviously have a strong impact on fixed income assets because they are the base to compute their prices. However, can we find any