This is a summary of links featured on Quantocracy on Tuesday, 02/20/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Robustness Testing of Country and Asset ETF Momentum Strategies [Quantpedia]The investment world witnessed a paradigm shift with the introduction of momentum strategies, a concept pioneered by Jagadeesh and Titman in their landmark 1993 study Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Their groundbreaking approach, hinged on the concept of buying stocks with a strong past performance (over 3- to 12-month periods) and
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Python vs. Wolfram Language [Jonathan Kinlay]As an avid user of both Python and Wolfram Language for technical computing, Im often asked how they compare. Pythons strengths as an open-source language are clear: Ubiquity With millions of users, Python has become ubiquitous across fields like data science, ML engineering, web development, and scientific research. This massive adoption fuels continuous enhancement of its tools.
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Absolute versus Relative Momentum Across Asset Classes [Finominal]Absolute and relative momentum can be used as simple asset allocation frameworks Both would have generated a higher return than an equal-weighted portfolio across asset classes However, risk-adjusted returns were lower and drawdowns higher INTRODUCTION Investing is often overwhelming given the enormous number of strategies and asset classes that are available to investors. Deciding on how to
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Benchmark selection: addressing strategic distortions [Alpha Architect]The paper aims to provide insights into the dynamics of benchmark selection, the effectiveness of Relative Performance Evaluation ( RPE ) incentivization, and the broader implications for fund performance and market competition. Self-Declared Benchmarks and Fund Manager Intent: Cheating or Competing? Chen, Evans and Sun FMA working, 2024 A version of this paper can be found here Want to read