This is a summary of links featured on Quantocracy on Monday, 12/14/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Value Factor s Pain: Are Intangibles to Blame? [Factor Research]The rise of intangibles has been increasingly used as an argument for the poor performance of the value factor However, this idea is not supported by data The type of market environment is marginally more useful for explaining the value factor performance INTRODUCTION Great storytelling may be the most powerful human skill. Empires have been built by lone individuals whose enthralling narratives
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December Opex Week Historically Bullish [Quantifiable Edges]I have written many times over the years about the bullish tendency of the market during opex week in December. I used to refer to it as The Most Wonderful Week of the Year. And it wasup until 2018. So below is an updated look at the stats and profit curve for owning SPX from the close of the Friday before December opex to the close on December opex. SPX Dec opex week performance bullish
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Inflation and precious metal prices [SR SV]Theory and plausibility suggest that precious metal prices benefit from inflation and negative real interest rates. This makes gold, silver, platinum, and palladium natural candidates for hedges against inflationary monetary policy. Long-term empirical evidence supports the inflation-precious metal link. However, there are important qualifications. First, the equilibrium relation between consumer