This is a summary of links featured on Quantocracy on Monday, 02/12/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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European Investors and TAA Strategies: Four Approaches [Allocate Smartly]We track 80+ Tactical Asset Allocation (TAA) strategies, most of which were designed from the perspective of a US investor trading US ETFs. Most European investors cant access US ETFs, instead trading UCITS funds listed on non-US exchanges, often denominated in currencies other than USD. In this post well provide data analyzing four approaches a European investor might take in trading US TAA
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Prompting is Programming with LMQL [Gautier Marti]In this blog, I just toy around with a relatively new framework for querying (large) language models: LMQL, a SQL-like for LLMs. It is a first step toward a novel programming paradigm: Language Model Programming (LMP). These ideas are described in the very interesting paper Prompting Is Programming: A Query Language for Large Language Models. From time to time, Machine Learners revisit the concept
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ChatGPT – can it be used to select investments? [Alpha Architect]One use of the NLP (natural language processing) features of ChatGPT is to search out patterns in the immense amounts of news, data and other sources of information about specific stocks, and then efficiently convert them into summaries valuable for all types of investors. Can this be accomplished with useful results? The authors use the Q2_2023 period to test performance around earnings
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Duration of U.S. Equities – II [Finominal]There are multiple ways to measure interest rate sensitivities High-duration stocks like tech and biotech were not more sensitive to rising rates The relationship between interest rates and stocks is weak INTRODUCTION In our first article on the duration of U.S. equities (read Duration of U.S. Equities) we concluded that the interest rate sensitivity of the stock market ranged significantly