This is a summary of links featured on Quantocracy on Monday, 11/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Enhancing Portfolio Income With the Equity Volatility Premium [Simplify]With more than 118 million Americans in or nearing retirement (age 50 or older)[1], income has become a key component for many portfolios. But as asset allocators reach for yield in a low-rate environment, they must be extra mindful of the additional risks they may be accepting. In this blog we demonstrate that the equity volatility premium is a compelling strategic income holding given its
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Musing about S&P 500 Valuations [Factor Research]The valuation of the S&P 500 depends on portfolio construction Analyst EPS projections are likely overly optimistic PEG ratios of other stock markets are more attractive INTRODUCTION Striking a bargain seems to bring joy to all people, regardless of their location and their beliefs. It is almost as if it was genetically coded into us to feel good about having acquired something below its
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The Quant Cycle – The Time Variation in Factor Returns [Quantpedia]Although the factors in asset pricing models offer a premium in the long run, they are undergoing bull and bear market cycles in the short term. One would expect that it is due to their connection to the business cycles as the factor premium represents a reward for bearing the macroeconomic risks. A novel study by Blitz (2021) finds that traditional business cycle indicators cant explain much