This is a summary of links featured on Quantocracy on Saturday, 12/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Last Day Of The Year History (And Why Traders Need An Open Mind & Adaptability) [Quantifiable Edges]The last day of the year used to be consistently bullish for the market. But that has changed since the turn of the century. This is true across a number of indices. The most dramatic example is the NASDAQ, which I highlighted here on the blog a few years ago. I have updated the chart below. 2018-12-28 Closing up 29 years in a row is fairly astounding. Just as astounding is the abrupt reversal and
Is Active Alpha Enough to Cover Taxes? [Alpha Architect]Each time S&P Dow Jones Indices publishes its latest Active Versus Passive Scorecard, the persistent failure of the vast majority of actively managed funds to outperform is highlighted. The evidence on this failure led Charles Ellis to call active management the losers game while its possible to win, the odds of doing so are so poor that it isnt prudent to try. Whats more, the
Equity values and credit spreads: the inflation effect [SR SV]A theoretical paper shows that a downward shift in expected inflation increases equity valuations and credit default risk at the same time. The reason for this is nominal stickiness. A slowdown in consumer prices reduces short-term interest rates but does not immediately reduce earnings growth by the same rate, thus increasing the discounted present value of future earnings. At the same