This is a summary of links featured on Quantocracy on Tuesday, 12/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trading a 2s10s Inversion [Simplify]The latest inversion of the Treasury yield curve has been a popular topic of conversation among market pundits and participants alike. In this blog, we explain what a curve inversion is, why it is important, and what (if any) bearing it has on bond prices going forward. The 2s10s Yield Curve The 2s10s yield curve is a measure of the difference in interest rates between the two-year and ten-year
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Research Compendium 2022 [Finominal]If we knew what it was we were doing, it would not be called research, would it? Albert Einstein December 2022. Reading Time: 10 Minutes. Author: Finominal RESEARCH COMPENDIUM 2022 In 2022, we published more than 50 research articles on a wide range of investing topics including CTA replication, inflation-linked bonds, performance benchmarking, tactical asset allocation, thematic
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Multi-Factor Long-Short Portfolios how have they performed? [Alpha Architect]Multi-factor, long-short portfolios have provided significant portfolio diversification benefits by adding unique sources of risks that have historically produced premiums that meet the criteria Andrew Berkin and I established in our book Your Complete Guide to Factor-Based Investingthe premiums have been persistent, pervasive, robust to various definitions, survive transactions costs and