This is a summary of links featured on Quantocracy on Thursday, 04/11/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend Following with Return Stacking [Investing For A Living]After my last post on using trend following in Crypto markets I thought Id continue on that thread and look at applying trend following on a newish concept (similar concepts have existed at the institutional level for a long time) in creating diversified portfolios, called return stacking. First, what is return stacking? The term return stacking was coined by the team at Newfound research and
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Factor Olympics Q1 2024 [Finominal]Some factor trends continued from 2023, but there were also two significant rotations Momentum performed the best, size the worst Most long-short multi-factor products have generated positive excess returns INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence