This is a summary of links featured on Quantocracy on Wednesday, 11/30/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Predicting Forward 60/40 Returns [EconomPic]In a recent post, Long-Term Bonds Behave More Like Stocks Than You Might Think, Lawrence via Fortune Financial fame outlined: It shouldn't be surprising that long-term Treasurys exhibit almost the same degree of volatility as equities. After all, as we discussed in A Better Way to Think of Cash, Bonds, and Stocks, stocks are essentially high-duration instruments, or perpetuities. The further
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BERT: a newcomer in the R Excel connection [R Trader]A few months ago a reader point me out this new way of connecting R and Excel. I dont know for how long this has been around, but I never came across it and Ive never seen any blog post or article about it. So I decided to write a post as the tool is really worth it and before anyone asks, Im not related to the company in any way. BERT stands for Basic Excel R Toolkit. Its free
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Is the Low Volatility Anomaly driven by Lottery Demand? [Alpha Architect]A few years ago I wrote a summary on a working paper titled A Lottery Demand-Based Explanation of the Beta Anomaly. The paper is still a working paper, and has been updated (unfortunately they took out a neat picture from the original paper!). Here is a link to the new version of the paper, and the updated abstract is listed below. The low (high) abnormal returns of stocks with high (low)