This is a summary of links featured on Quantocracy on Wednesday, 03/11/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Do Insider Trades Provide Insights into Future Returns? [Alpha Architect]The volume of work that has been done on insider transactions is not inconsequential, weve covered a variety of research on the topic in several blog posts just a few of which are here and here. This is the first time we observe corporate insiders ability to overcome biases as an indicator of future returns though. Because corporate insiders are also human, they too can be subject to
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Trading Multiple Strategies [Alvarez Quant Trading]Using strategy diversification is one of the easiest ways to improve the performance and reduce risk of your overall portfolio. Trading one strategy is risky because you never know when it may stop working or simply go into a period of under-performance. Given two strategies to trade, the questions I have are, what is the performance of trading them together? What percentage of the total portfolio
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What to Do When Alpha Becomes Beta [Alpha Architect]In this article, the author argues that alternative risk premia (ARP) strategies undergo an evolution that begins with their inception as a pure alpha -based strategy, continuing its metamorphosis into a pure beta strategy. The inevitable transformation is brought on by a number of factors and also presents an opportunity for managers and investors alike to reassess their position on the