This is a summary of links featured on Quantocracy on Monday, 12/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Re-specifying the Fama French 3-Factor Model [Flirting with Models]The Fama French three-factor model provides a powerful tool for assessing exposures to equity risk premia in investment strategies. In this note, we explore alternative specifications of the value (HML) and size (SMB) factors using price-to-earnings, price-to-cash flow, and dividend yield. Running factor regressions using these alternate specifications on a suite of value ETFs and Newfounds
Global Pension Funds: The Coming Storm [Factor Research]The outlook for US equity and bond returns is low based on historical data The return assumptions of US public pension funds are difficult to achieve Only an extreme allocation to alternatives would meet the expected rate of return THE GLOBAL PENSION FUND CRISIS Tens of thousands of Dutch workers took to the streets in the spring of 2019 to protest a proposal to raise the retirement age. Then, in
The Most Wonderful Week of the Year Until Last Year [Quantifiable Edges]I have written many times over the years about the bullish tendency of the market during opex week in December. Ive even referred to it as The Most Wonderful Week of the Year. And it wasup until last year. 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. 2019-12-16 That is a 7% loss