This is a summary of links featured on Quantocracy on Friday, 04/05/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Test the Assumption of Persistence [Robot Wealth]An assumption we often make in trading research is that the future will be at least a little like the past. I see a lot of beginners making this assumption implicitly without recognising that theyre making it or thinking about whether its reasonable to do so. Thats a mistake. If you are making this assumption, you need to be aware of it and you need to have confidence that its a good
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Macro trends and equity allocation: a brief introduction [SR SV]Macroeconomic trends affect stocks differently, depending on their lines of business and their home markets. Hence, point-in-time macro trend indicators can support two types of investment decisions: allocation across sectors within the same country and allocation across countries within the same sector. Panel analysis for 11 sectors and 12 countries over the last 25 years reveals examples for