This is a summary of links featured on Quantocracy on Monday, 01/08/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Levered ETFs for the Long Run? [Flirting with Models]We believe that capital efficiency should remain a paramount objective for investors. The prudent use of leverage can help investors employ more risk efficient portfolios without necessarily sacrificing potential returns. Many investors, however, do not have access to leverage (be it via borrowing or derivatives). They may, however, have access to leverage via Levered ETFs. Levered ETFs are often
Multi-Factor Models 101 [Factor Research]FactorResearch publishes a white paper on building multi-factor models. SUMMARY Three common approaches for creating multi-factor portfolios are the Combination, the Intersectional and the Sequential models The results from the Combination and Intersectional models are comparable in terms of trend Each model has its own advantages and disadvantages, the selection will depend on investor
Historical Results Following 4 Up Days To Begin A New Year [Quantifiable Edges]The simple fact that the SPX posted a gain on the first 4 days of the year is a pretty rare occurrence, with 2018 only being the 9th instance since 1961. While instances have been low, the intermediate-term performance following such strong starts to the year has been impressive. And looking at most timeframes from 50 days to 250 (or more) days, the returns have been strong. Below is the list of