This is a summary of links featured on Quantocracy on Monday, 03/26/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Protect & Participate: Managing Drawdowns with Trend Following [Flirting with Models]Trend following is an investment strategy that buys assets exhibiting strong absolute performance and sells assets exhibiting negative absolute performance. Despite its simplistic description, trend following has exhibited considerable empirical robustness as a strategy, having been found to work in equity indices, bonds, commodities, and currencies. A particularly interesting feature about trend
Factor Exposure Analysis: Dow Jones [Factor Research]Factor exposure should be considered a source of returns as well as of risk Factor biases can be measured top-down or bottom-up The results of the two approaches do not necessarily reconcile INTRODUCTION Factor investing has become immensely popular in recent years and assets in smart beta products surpassed $1 trillion in 2017. However, factor exposure should be regarded as much as a source of