This is a summary of links featured on Quantocracy on Wednesday, 01/23/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Asset Allocation Roundup [Allocate Smartly]Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Fragility Case Study: Dual Momentum GEM (Newfound) + Response from Gary Antonacci Coreys post kicked off quite a lively discussion. I encourage you to click through to both pieces, but heres the argument in a nutshell. Note: Corey is using Antonaccis Dual Momentum (GEM) to illustrate his point, but
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The Efficient Market Hypothesis [Highly Evolved Vol](This is an excerpt from my upcoming book on positional option trading.) The traders concept of the Efficient Market Hypothesis (EMH) is, making money is hard. This isnt wrong, but it is worth looking at the theory in more detail. Traders are trying to make money from the exceptions to the EMH, and the different types of inefficiencies should be understood, and hence traded,
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Rankings and Risk-Taking in the Finance Industry [Alpha Architect]Rankings are everywhere in the finance industry. A number of papers identify bonus schemes and tournament incentives(1) among the main drivers of excessive risk-taking in developed nancial markets. The article studies the impact of rankings on professionals risk-taking investment decisions. The authors ask the following research questions: Do non-incentivized rankings and tournament