This is a summary of links featured on Quantocracy on Tuesday, 01/02/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Deep Dive into Volatility Targeting [Return Sources]In the world of trend following, the biggest, most longstanding debate is about whether or not to target a certain level of volatility on an ongoing basis. Listeners of the podcast Top Traders Unplugged will be very familiar with this debate. Unfortunately, some of the language surrounding this argument has become confusing and vague. When we say, volatility targeting, we need to be clear
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Most popular posts 2023 [Eran Raviv]This blog is just a personal hobby. When Im extra busy as I was this year the blog is a front-line casualty. This is why 2023 saw a weaker posting stream. Nonetheless I am pleased with just over 30K visits this year, with an average of roughly one minute per visit (engagement time, whatever google-analytics means by that). This year I only provide the top two posts (rather than the usual 3).
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Factor Olympics 2023 [Finominal]The performance of factors was unexciting and poor in 2023 Quality performed the best, low volatility the worst Low-risk and cheap stocks are currently highly 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 returns across