This is a summary of links featured on Quantocracy on Wednesday, 02/20/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Trend-Following: A Decade of Underperformance [Alpha Architect]Everyone in finance remembers 2008the Global Financial Crisis. Yes, I know, the final downward movement in the stock market was in early 2009. However, many remember 2008 as the year of the crisis. So now we are 10 years removed from the crisis. Why do I mention this? After the crisis, some began to question the logic/benefits of B&H investing. After all, a ~50% cut in the value of stocks
ETF Bond Rotation [Alvarez Quant Trading]In my last post I discussed SPY/TLT rotation strategies. Today, I will be using the same ideas from the post but on a basket of bond ETFs. The Basket The first difficult decision one must make is what ETFs will be in the basket. What we choose here, can have a big impact on the results. I wanted to focus primarily on the US bond market. One factor I considered is picking ETFs with long histories.
If you had to do a trend following strategy, what would it be and why? [Alpha Architect]The topic of this blog post was inspired by Wes Gray from Alpha Architect. In the text below I limit my attention to following the trends in stock markets. To follow the trend or not? Marry, and you will regret it; dont marry, you will also regret it; marry or dont marry, you will regret it either way wise men quote Trend following is not a magical system that makes money without any