Quantocracy’s Daily Wrap for 02/10/2020

In response to a member question: Have you ever looked at a systematic approach that invested only in tactical asset allocation strategies that were experiencing a significant drawdown? We know that performance chasing is a flawed behavioral bias, so an approach like this could exploit it. We always appreciate thoughtful questions like this from members. First off, we can confirm that chasing

At Newfound, we adopt a holistic view of diversification that encompasses not only what we invest in, but also how and when we make those investment decisions. In this three-dimensional perspective, what is correlation-based, how is payoff-based, and when is opportunity-based. In this piece, we provide an example of what we mean by payoff-based diversification, using a simple strategically

Factors can be valued like stocks or markets The Low Volatility factor in the US had the best subsequent returns when cheapest and worst when most expensive However, the perspective is less clear when analyzing European and Japanese stock markets INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise.

German Power prices can be explained by supply and demand, but also by causal correlations to underlying energy future prices. A properly weighted basket of gas, coal and emissions should therefore be able to resemble the moves of the power price. This article will introduce multivariate regression analysis to calculate the influence of the underlying markets on a given benchmark. It is an example

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