This is a summary of links featured on Quantocracy on Monday, 01/22/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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A General Approach for Exploiting Statistical Arbitrage Alphas [Robot Wealth]Last week, I wrote a short article about statistical arbitrage trading in the real world. Statistical arbitrage is a well-understood concept: find pairs or baskets of assets you expect to move together, wait for them to diverge, and bet on them converging again. Simple enough. But making it work, especially at scale, is a little more complicated. A somewhat old-school approach takes pairs of
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Easily compare investment strategies [PyQuant News]Portfolio optimization is a balance between maximizing returns and minimizing risk. While it might sound easy, its actually very difficult compare investment strategies. First, we have to accurately forecast future returns and risk. Then, we have to use tricky optimization models to build the portfolios subject to our constraints. Not to mention come up with a strategy that works! Most
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Outperforming Cap- (Value-) Weighted and Equal-Weighted Portfolios [Alpha Architect]Popular benchmarks in academic research studies to evaluate the performance of investment strategies are cap-weighted (market-, or value-weighted), and equal-weighted portfolios. Capitalization-weighted portfolios are used because they are the simplest and cheapest to implement, representing the total market with little to no rebalancing costs. Equal-weighted portfolios have produced higher
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Trend Following in Bear Markets [Finominal]Short-only trend following in stocks generated consistent losses across markets However, combining the strategy with an equities portfolio generated diversification benefits Like other hedging strategies it would be difficult to execute this strategy over the long-term INTRODUCTION Trend following is likely the most researched investment strategy. The folks at AQR have backtested the framework