This is a summary of links featured on Quantocracy on Thursday, 02/28/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Skew and Trend Following [Investment Idiocy]In this post I discuss a well known stylised fact of the investment industry: "Trend following is a positively skewed strategy". Spoiler alert: yes it is (sort of), but it's much more complicated (and interesting!) than you might think. A quick primer on positive skew So what actually is positive skew? Essentially it's an asset, or trading strategy, whose returns have the