This is a summary of links featured on Quantocracy on Friday, 02/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Thoughts On Dealing With Historically Abnormal Markets [Quantifiable Edges]I have discussed some lately that the market is acting outside of historical norms. Thursdays action reinforced that. The pullback has come so fast and been so extreme that it is going beyond even many of the most extreme moves in similar situations. For instance, I looked back to 1960 with the SPX for to find other times SPX closed down > 10% from a 250-day closing high within 2 weeks of
Time Series Momentum (aka Trend-Following): A Good Time for a Refresh [Alpha Architect]Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which is long assets which have had recent positive returns and short assets which have had recent negative returns.(1) Compare this to the