This is a summary of links featured on Quantocracy on Tuesday, 10/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Multi Strategy Management for Your Portfolio [Quantpedia]If you follow Quantpedias blogs, you probably know that Quantpedia PRO already contains multiple risk management and portfolio construction tools for your quantitative investment strategies. For example, Crisis Hedge can find you suitable investment hedges for negative months and for bear markets. The Correlation Analysis report, on the other hand, reviews your model portfolios correlation
Factor Olympics Q3 2022 [Finomial]Value is leading the performance scoreboard in YTD 2022 Low volatility is the worst-performing factor Oddly, the value and low volatility factors are strongly positively correlated INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence of positive excess
Transaction costs and portfolio strategies [SR SV]Transaction costs are a key consideration for the development of trading strategies; and not just in final profitability checks. Indeed, disregard for trading costs at the design stage leads to excessive reliance on fleeting small-scale characteristics for return predictors. It also skews the conventional efficient frontier of portfolio choice towards risky trading strategies. A realistic