This is a summary of links featured on Quantocracy on Tuesday, 01/14/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Skew and Kurtosis as trading rules [Investment Idiocy]This is part X of my series of blog posts on skew and kurtosis, where 2 A post on skew: measuring, and it's impact on future returns A post on kurtosis: measuring, it's impact on future returns, and it's interaction with skew. A post on trend following and skew (which I actually wrote first, hence the confusion!) This post: on using skew and kurtosis as trading rules This series
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The Hierarchical Risk Parity Algorithm: An Introduction [Hudson and Thames]Portfolio Optimisation has always been a hot topic of research in financial modelling and rightly so a lot of people and companies want to create and manage an optimal portfolio which gives them good returns. There is an abundance of mathematical literature dealing with this topic such as the classical Markowitz mean variance optimisation, Black-Litterman models and many more. Specifically,
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Bitcoin plus Harry Brown s Permanent Portfolio A mix in heaven? [Sanz Prophet]What would happen if you took $5,000 out of your $100,000 permanent portfolio and allocated it to Bitcoin? From 3.6% annual to 15% annual returns? Got to love the Permanent Portfolio I have been somewhat obsessed with the simplicity and fundamental thinking behind the permanent portfolio. I have written and analyzed it various times (here and here ) a well as created variations from it that are
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How ESG Affects Valuation, Risk, and Performance [Alpha Architect]We have done a fair amount on the investment merits of ESG investing, but the question of how ESG affects the fundamental performance of a firm (in a causal fashion) is addressed in this study. For example, this paper askes questions such as, Are high ESG scoring firms more adept at managing their risks, thus leading to higher valuations? Or is it the reverse: are firms with higher valuations