This is a summary of links featured on Quantocracy on Thursday, 02/23/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
The Potential Return-Free Risk of Bonds [EconomPic]I've read too many posts / articles that outline why a rise in rates is good for long-term bond investors (as that would allow reinvestment at higher rates). While this can be true depending on the duration of bonds owned and/or for nominal returns over an extended period of time, it is certainly not true over shorter periods of time and absolutely not true for an investor in most real return
How Short Positions Affect Factor Investing? [Quantpedia]The performances of factor investing rely heavily on short sales, not only for building the initial long-short strategy, but also for regularly rebalancing the positions. Since short selling is subject to both legal restrictions and substantial costs, this paper examines how severely restrictions on short positions affect the financial attractiveness of factor investing. To fill the gap between
Dual Momentum Analysis [Quant Dare]Why dual momentum? Because strategies based on highest relative momentum show great results in the long run, but can experience deep falls and have little participation in the posterior rebounds after large market falls. To sidestep these drawbacks, here it is laid out a strategy based on Gary Antonaccis studies about Dual Momentum and Absolute Momentum, with the difference that, while he used