This is a summary of links featured on Quantocracy on Monday, 04/02/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
The most important plot in finance [Mathematical Investor]In this post we look at the one plot that proves that technical analysis (TA) is useless. TECHNICAL ANALYSIS AND HOROSCOPES As volatility has made a come back in recent months, investors have sought advice to asset managers. In many instances, such advice consists in technical indicators. Charles Schwab represents TA as an indispensable tool for active traders (examples: here and here). Merrill
Diversifying the What, How, and When of Trend Following [Flirting with Models]Nave and simple long/flat trend following approaches have demonstrated considerable consistency and success in U.S. equities. While there are many benefits to simplicity, an overly simplistic implementation can leave investors naked to unintended risks in the short run. We explore how investors can think about introducing greater diversification across the three axes of what, how, and when in
Factor Olympics Q1 2018 [Factor Research]2018 started negative for the majority of factors Momentum, Quality and Growth showed the strongest performance Low Volatility, Dividend Yield and Value generated negative returns INTRODUCTION We present the performance of seven well-known factors on an annual basis for the last 10 years and the first quarter 2018. It is worth mentioning that not all factors have strong academic support, e.g.