This is an interesting DE Shaw write-up from June 2022. They show with a simple multi-variate regression framework that all stocks do not exhibit the same correlation structure with rates. The framework is appealing for its simplicity as well as its ability to inform our view of asset classes that could additive to traditional 60-40 and target date funds.
However, we have to wonder if someone made a mistake in the article as the numbers in Table 1, specifically the column labeled "Average Annualized Excess Return", appear incorrect. Anyone else think so?
At any rate, worth the read.
Nice PhD dissertation by Siyuan Li from the University of Hawaii. He convincingly shows that the variation in results from the plethora of sector momentum studies can be explained by the different sector specifications used.
The dissertation goes on to show that when industry momentum if predictive of returns it relies heavily on industry concentration. When the concentration level is in the sweet spot it works and when industries are too sparse it doesn't.
This was written in 2017 and has aged well.
Where we are, where we are going, and where to invest. This is a piece from Sam Lessin taking the form of a DocSend presentation. Our summary: the end of the ZIRP put VC in a bad state and the strong performance over the last 3 years of the top 5-10 stocks in the S&P is going to keep it that way.