This is a summary of links recently featured on Quantocracy as of Tuesday, 03/18/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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On inflation and stock returns [Outcast Beta]Are stocks an inflation hedge? At least in the long run? We find the answer to both questions is no. While fundamental returnscomprising dividend return and earnings growthdo help hedge inflation, valuation changes undermine this hedge. This holds true whether we examine yearly returns, ten-year returns, or anything in between. Stocks do help protect our purchasing power from inflation, but
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Anti-Dividend Investing: Yield Matters – But Not How You Think! [Alpha Architect]Dividends are the comfort food of investing. Who wouldnt love feeling like theyre getting a seemingly free payout just for holding onto a stock? Its no wonder so many investors are drawn to the siren call of yield. As with all good things, theres a little moreperhaps a whole lot moreto the story. Heres why: its possible that even in a tax-free setting, selling stocks
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Weekly Research Recap [Quant Seeker]Its time for another roundup of the latest investing research. Below is a carefully curated selection of last weeks highlights, with each title linking directly to its source for further reading. Thank you for reading and dont forget to hit the like button. Crypto Including Cryptos in Equity Portfolios: Trend or Opportunity? (Cesarone, Figa-Talamanca, and Luciani) Cryptocurrencies have
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The 30% Selloff Signal: What History Tells Us About Market Recoveries [Alvarez Quant Trading]I was talking to my trading buddy and he mentioned that he read that 40% of Russell 3000 stocks are 30% or more off their 52-week high. To us that sounded really bad. But as usual, we asked is it? Or is this normal when we finally cross under the 200-day moving average after a long time being above it. Going into this, I had lots of questions. How is this stat on the S&P500 stocks? How has the
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Building Correlation Matrices with Controlled Eigenvalues: A Simple Algorithm [Sitmo Machine Learning]In some cases, we need to construct a correlation matrix with a predefined set of eigenvalues, which is not trivial since arbitrary symmetric matrices with a given set of eigenvalues may not satisfy correlation constraints (e.g., unit diagonal elements). A practical method to generate such matrices is based on the Method of Alternating Projections (MAP), as introduced by Waller (2018). This
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Ehlers Ultimate Oscillator [Financial Hacker]In his TASC article series about no-lag indicators, John Ehlers presented last month the Ultimate Oscillator. Whats so ultimate about it? Unlike other oscillators, it is supposed to indicate the current market direction with almost no lag. The Ultimate Oscillator is built from the difference of two highpass filters. The highpass function below is a straightforward conversion of Ehlers