This is a summary of links featured on Quantocracy on Wednesday, 01/31/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Behavioral and Performance Benefits of Trend Following [EconomPic]When we tell our investors to invest for the long run, we have to make sure the short run doesnt kill them first Investing for the long run isnt bad advice, its just unrealistic. It doesnt take into account human behavior. -Andrew Lo (HT: Andrew Thrasher) Trend following has historically provided strong long-term returns with materially reduced drawdowns relative to a traditional
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Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility [Alpha Architect]What are the research questions? Financial theory asserts a clear link between the risk-free interest rate and the pricing of equity securities, regardless of the time horizon. Therefore, the markets opinion about the uncertainty of rates should improve models forecasting equity volatility in the short and long run. This article asks one basic question: Do measures reflecting investor opinion