This is a summary of links featured on Quantocracy on Tuesday, 04/18/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Advanced Futures Trading Strategies [Investment Idiocy]Tommorrow marks the official release of my 4th book: Henceforth to be known as AFTS (I've had authors copies since the 24th February, but modern supply chains being what they are it takes considerably longer for the book to arrive in the hands of my readers; although plenty of people on twitter have been bragging about receiving their copies earlier). You can buy it here (why haven't you
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Portfolio Allocations vs Risk Contributions [Finominal]Most investors analyze investment products based on their holdings However, holdings often misportray of what is determining the risk profile A factor exposure analysis can identify the performance & risk contributors INTRODUCTION It is difficult to watch an hour of European television and not see an advertisement from the Italian confectionary company Ferrero. The ads for Kinder Schokolade
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Information Decay: which factors have the longest half-lives? [Alpha Architect]What are the research questions? The authors argue that factor exposures are random variables governed by a specific distribution that drives the behavior factor exposures over time. Five factors are examined including value, momentum, quality, investment and low volatility, over 12 developed and emerging markets for the period 2002-2019. The five factors analyzed are drawn from academic studies