This is a summary of links featured on Quantocracy on Monday, 01/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Timing Bonds with Value, Momentum, and Carry [Flirting with Models]Bond timing has been difficult for the past 35 years as interest rates have declined, especially since bonds started the period with high coupons. With low current rates and higher durations, the stage may be set for systematic, factor-based bond investing. Strategies such as value, momentum, and carry have done well historically, especially on a risk-adjusted basis. Diversifying across these
Factor Allocation Models [Factor Research]Factor timing and factor risk management are related concepts, but have different objectives Factors have unique characteristics that require a tailored risk management approach A multi-dimensional factor risk management model shows consistent increases in risk-return ratios and decreases in maximum drawdowns across markets INTRODUCTION Smart beta funds surpassed $1 trillion assets under
Bitcoin exponential growth [Eran Raviv]Is bitcoin a bubble? I dont know. What defines a bubble? The price should drastically overestimate the underlying fundamentals. I simply dont know much about blockchain to have an opinion there. A related characteristic is a run-away price. Going up fast just because it is going up fast. How fast the price of bitcoin moves up? In order to quantify this we can design a short exercise testing