This is a summary of links featured on Quantocracy on Wednesday, 03/14/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies? [Alpha Architect]Readers often send us great questions related to different ideas on systematic value strategies. The outcome of years of back and forth with readers and internal discussions is several books and hundreds of blog posts on the subject of value investing. SoWhat have we learned? Weve learned a lot, but despite our best research efforts we havent changed our core systmeatic value model. We
-
Demystifying the Hurst Exponent with Cryptocurrencies [Quant Dare]Is the bitcoin market (Ethereum, Dash and Litecoin) efficient? After reading the paper, Persistence in the cryptocurrency market, which tries to answer that question, I was challenged by a colleague to replicate its results. This led me to write this post to highlight the great variability of the Hurst exponent estimation, not only between implementations but between series, and how risky it
-
Profiling Correlations For The Major Asset Classes [Capital Spectator]The case for holding a portfolio thats diversified across markets and asset classes is built on the assumption that return correlations will remain below 1.0 (perfect positive correlation) by more than a trivial degree. To the extent that you own assets that move independently of one another youll reap the rewards of diversification, which is widely celebrated as the only true free lunch in
-
Is Equity Pairs Trading Profitable Due to Cointegration? [Quantpedia]We study the theoretical implications of cointegrated stock prices on the profitability of pairs trading strategies. If stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that the theoretical Sharpe ratios are "too large," this suggests that either (i) cointegration does not exist pairwise among stocks, and pairs trading