This is a summary of links featured on Quantocracy on Saturday, 12/18/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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QuantMinds 2021 in Barcelona [Cuemacro]The above photo is of Montjuc Castle which has one of the best views over the city. The view from there kind of explains why the location was chosen from a strategic perspective. As a city Barcelona has many places which punctuate the skyline, whether its that castle, or the (still unfinished) Sagrada Familla, Gaudis masterpiece. One of the newer additions to the skyline is the Hotel Arts,
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When the Close Is Not Really the Close (A Geeky Discussion) [Allocate Smartly]This post covers an issue rarely discussed in backtesting: the days last real-time price shown at 4pm ET often differs slightly from the days official closing price determined shortly after 4pm. This is not an Allocate Smartly issue; its an oddity of the exchanges. Every so often this difference can cause discrepancies between backtests based on the close and investors real-world
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The Relationship Between the Value Premium and Interest Rates [Alpha Architect]Value stocks sharply underperformed growth stocks from 2017 to 2020, exacerbating a longer period of lackluster performance dating back to the Global Financial Crisis. The Death of Systemic Value Investing is not new news for frequent readers of the blog nor are the possible pathways to Resurrecting the Value Premium. From 2007 through August 2020, this drawdown was the deepest and longest in
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Causal inference as a tool for publishing robust results [Alex Chinco]Imagine youre an asset-pricing researcher. Youve just thought up a new variable, X, that might predict the cross-section of returns. And youve regressed returns on X in a market environment e of your choosing (i.e., using data on some specific time period, country, asset class, set of test assets, etc): (1) begin{equation*} R(i) = alpha_e + beta_e cdot X(i) + epsilon_e(i) qquad