This is a summary of links featured on Quantocracy on Sunday, 03/29/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean expectations [OSM]Were taking a break from our extended analysis of rebalancing to get back to the other salient parts of portfolio construction. We havent given up on the deep dive into the merits or drawbacks of rebalancing, but we feel we need to move the discussion along to keep the momentum. This should ultimately tie back to rebalancing, but from a different angle. Well now start to examine capital
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Some Basic Code Housekeeping [Dekalog Blog]Since my last post, back in late November last year, I have been doing a few disparate things such as: improving the coding of some functions in R to use the Oanda API to automatically download data using cronjobs coding some Octave functions to plot/visualise the above data more work on Random Vector Functional Link networks trying my hand at some discretionary day trading to take advantage of
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Corporate Governance, ESG, and Stock Returns around the World [Alpha Architect]Figuring out exactly how to score companies on social issues isnt as simple as tossing around a universal ESG Ratio that works for all. Instead, we have to dig into the details and find the nuanced answer to discover which companies are performing and delivering on social issues. This paper takes on the challenge of discovering methods that may work in deciphering ESG performance.
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The basics of low-risk strategies [SR SV]Low-risk investment strategies prefer leveraged low-risk assets over high-risk assets. The measure of risk can be based on price statistics, such as volatility and market correlation, or fundamental features. The rationale for low-risk strategies is that leverage is not available for all investors (but required to increase the weight of low-risk longs) and that many investors pay over the odds for