This is a summary of links featured on Quantocracy on Monday, 04/06/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Volatility, Risk Management, and Market Chaos: Research that Might Help [Alpha Architect]Given the recent market decline, we thought it would be helpful to review some of our blog posts from the past that may be relevant to the current crisis atmosphere. These posts focus on research that explores investment strategies that are believed to help investors manage risk and diversify their portfolios. Short Selling Bans Generally Dont Work! Most regulators around the world reacted to
-
Factor Olympics Q1 2020 [Factor Research]We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where academic research highlights positive excess returns across market cycles and asset classes. Other strategies like Growth might be widely-followed investment styles, but lack academic support and are therefore excluded. METHODOLOGY The factors are created by constructing
-
A L-U-V-Wy Recovery [Flirting with Models]There has been considerable speculation as to the shape of the markets recovery. Practitioners have taken to using letters as short hand for the recovery they forecast. Whether the market makes a fast V-shaped recovery, a slower U-based formation, a W-style double-bottom, or an L-shaped reset is heavily debated. As a path dependent strategy, trend following will behave differently in each of
-
First Octave Function using Oanda API [Dekalog Blog]As part of my on-going code revision I have written my first Octave function to use the Oanda API. This is just a simple "proof of concept" function which downloads an account summary. ## Copyright (C) 2020 dekalog ## ## This program is free software: you can redistribute it and/or modify it ## under the terms of the GNU General Public License as published by ## the Free Software