This is a summary of links featured on Quantocracy on Tuesday, 08/20/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Optimal allocation to cryptocurrencies in diversified portfolios update [Artur Sepp]Cryptocurrencies have been acknowledged as an emerging asset class with a relatively low correlation to traditional asset classes and independent drivers of their long-term performance (see for an example excellent papers by Harvey et al (2022) and Adams at al (2024)). A year ago in Summer of 2023, I published research article in Risk Magazine (SSRN draft) on quantitative methods for optimal
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How to Replicate Trend Following Managed Futures [Invest Resolve]Trend-following managed futures strategies offer a compelling opportunity for investors to diversify their portfolios beyond traditional stocks and bonds. By capitalizing on persistent trends across a wide range of liquid futures markets from commodities to currencies to equity and bond indicesthese strategies have historically delivered attractive returns with low correlations to
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Machine Learning and the Probability of Bouncing Back [Quantitativo]Learn the rules like a pro so you can break them like an artist. Pablo Picasso. Picasso painted Woman with a Book, one of his masterpieces, a few months before my grandmother was born. He was a legendary artist, a true master whose creativity and invention made him one of the most influential figures in modern art history. My grandmother has not achieved this level of notorietynot
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Ehlers Precision Trend Analysis [Financial Hacker]In TASC 8/24, John Ehlers presented a new algorithm for separating the trend line from a price curve, using spectral analysis functions. Trend lines are only useful for trading when they have little lag, so that trend changes can immediately trigger trade signals. The usual suspects like SMA, WMA, EMA are too laggy for this. Lets see how good this new algorithm works. The functions below are a
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Fixing the poor performance of the book-to-market ratio [Alpha Architect]While the research, commentary and speculation about the failure of value factor strategies over the last decade or two continues along a number of avenues, we havent yet seen a movement back towards fundamental analysis or a discounted cash flow (DCF) approach. In this paper, the authors argue for just such a solution. It is a good idea, and the analysis supports the supposition. Read on.