This is a summary of links featured on Quantocracy on Friday, 02/02/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
Quantifying and Combining Crypto Alphas [Robot Wealth]In this article, Ill take some crypto stat arb features from our recent brainstorming article and show you how you might quantify their strength and decay characteristics and then combine them into a trading signal. This article continues our recent articles on stat arb: A short take on stat arb trading in the real world A general approach for exploiting stat arb alphas Ideas for crypto stat
How to Build a Systematic Innovation Factor in Stocks [Quantpedia]The aim of this article is multifold. It aims to answer the research question: does a portfolio consisting of top innovators outperform the S&P 500 index? To address this question, a strategy of investing long in top innovators according to their ranking is developed, and its performance is compared to that of the broad-based index. Based on the common belief that higher innovativeness carries
Trend to Passive Investing Negatively Affecting Active Funds [Alpha Architect]In our book, The Incredible Shrinking Alpha, Andrew Berkin and I identified four key trends that were increasing the hurdles for active managers in their quest to generate alpha: Academic research has been converting what was once alpha into beta (common factors that could be accessed at much lower costs through systematic funds such as index funds). The pool of victims (naive retail