This is a summary of links featured on Quantocracy on Wednesday, 02/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Inverse Volatility Sizing Index [Alvarez Quant Trading]In my last post, Inverse Volatility Position Sizing, I tested inverse volatility sizing on a monthly rotation strategy. I saw very little difference in the rest results versus equal position sizing. I was talking to a trading friend about the research and how I was surprised at how there was not any difference in the results. He suggested that made creating an index using this method. Now, this
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Factor Risk and Return [Falkenblog]Factor returns should reflect risk, in that they have traditionally been interpreted as proxies for some kind of risk not measured by beta. The idea is that perhaps what people really care about is whether there will be another oil shock, and nothing matters as much. Stocks that have a high dependence on cheap oil would have more risk than other stocks. In the early 1980s, this was a common
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Visualising ETFs with UMAP [Quant Dare]In previous posts (Visualising Fixed Income ETFs with T-SNE) we have talked about dimensionality reduction algorithms to visualize financial assets and find recognizable patterns. The conclusions were that it didnt perform well compared to PCA, which is a more classical approach. Can we do any better? T-SNE was from 2008, but more dimensionality reduction algorithms have been released since