Fractional Momentum
there's a whole
Back in December last year, we discussed a paper that introduced “fractional” momentum - a strategy that used a fractional differencing approach to sort stocks. We setup a live portfolio to track its performance in the Indian markets with some constraints. Eight months in, it’s no great shakes.
Fractional momentum trailed our lindy momentum strategies and had worse drawdowns in the beginning of the year. The only time it outperformed them was in March.
The proof of the pudding is in the eating. With the evidence thus far, you’re better off sticking to whole foods.
Markets this Week
America seems to have vanquished inflation.
And the trend in the one thing that’s keeping the number up is encouraging.
The bond market is telling the Fed it's done with rate hikes. The Fed is now expected to start cutting rates in early 2024, according to market pricing.
More here: country ETFs, fixed income, currencies and commodities.
Links
Research
Graphic warning labels on cigarette packaging works. (NBER)
Using six decades of data from 69 markets, we demonstrate that economic discomfort reliably predicts cross-sectional stock returns. A quartile of countries with the highest misery index outperforms those with the lowest by 0.74% per month.
Only a handful of companies create wealth. (SSRN)
The odds that Asian American applicants were admitted to at least one of the schools we consider were 28% lower than the odds for white students with similar test scores, grade-point averages, and extracurricular activities. The gap was particularly pronounced for students of South Asian descent (49% lower odds).
Between 2003 and 2006, 57 schools in Perth were enrolled into an infant simulator intervention designed to reduce teen pregnancy rates. The program backfired and the girls exposed to the fake infants were more likely to get pregnant in the five years after the intervention. (thelancet)
Men have been sexually selected to feel threatened by women who are funnier than they are. (reversepsychologytoday)
Economy
Shanghai police have detained the founder and CEO of the city's largest immigration consultancy firm, prompting warnings to Chinese people to leave immediately or not return amid fears the authorities will crack down on an ongoing wave of mass emigration. (rfa)
Even before the onset of Covid-19, the Chinese economy had slowed down and entered a domestic debt crisis, visible in the collapse of major real estate developers like Evergrande. After Beijing lifted all pandemic restrictions in late 2022, a widely anticipated economic rebound failed to materialize. Youth unemployment spiked at above 20% (another estimate put it at above 45%). Data on trade, price, manufacturing and GDP growth all point to deteriorating conditions – a trend that fiscal and monetary stimulus has failed to reverse. The Economist now claims that China might never catch up with the US…
U.S. President Joe Biden on Thursday called China a "ticking time bomb" because of economic challenges including weak growth. (reuters)
The consumer goods industry in India clocked its fastest growth in a year and a half in the April-June quarter, as softening inflation drove demand even in the hinterlands. (reuters)
India's greenhouse emissions rate dropped by a faster-than-expected 33% in 14 years as renewable energy generation rose and forest cover increased. (reuters)
In its audit report on Performance Audit of Ayushman Bharat, the CAG said that overall, 7.5 lakh beneficiaries were linked with a single mobile number — 9999999999. (indianexpress)
Odds & Ends
San Francisco allows robotaxi firms Waymo and Cruise to take paying passengers day or night throughout the city. They will now operate in direct competition with Uber and Lyft. (reuters)
Indian democracy in action: 3 days of sound and fury over a no-confidence vote that did not have a prayer of succeeding and 3 hours to pass new legislation that replace existing laws relating to criminal procedure, offences and evidence. (timesofindia, indianexpress)
The basic law of human stupidity (harmful.cat-v)
Meme of the Week
