This is a summary of links featured on Quantocracy on Tuesday, 12/06/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Investing in Deflation, Inflation, and Stagflation Regimes [Alpha Architect]Spikes in inflation and fear of stagflation prompted this study which answers the following question: 1. How do risk premiums and investment strategies behave across inflationary regimes like periods of high inflation, deflation, or stagflation? What are the Academic Insights? By utilizing the deepest sample available for a relatively broad cross-section of asset class and factor portfolio
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Are Alternative ETFs Good Diversifiers? [Finominal]Alternative products with uncorrelated returns do not necessarily provide diversification benefits Out of 10 alternative ETFs, only one product improved the Sharpe ratio of a 60/40 portfolio Correlations should be regarded carefully in fund selection INTRODUCTION Given the demise of the traditional 60/40 portfolio comprised of equities and bonds in 2022, investors are desperate for diversifying