This is a summary of links featured on Quantocracy on Thursday, 04/26/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Diversification – What most novice investors miss about trend following [Invest ReSolve]In his 1998 second edition of Stocks for the Long Run1, Jeremy Siegel added a chapter called Technical Analysis and Investing with the Trend, where he explored simple trend rules to time the U.S. stock market. In the chapter, Dr. Siegel revealed that the simple trend following strategy produced similar returns to a strategy of buying the index and re-investing dividends over the very
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The Costs of Implementing Momentum Strategies [Alpha Architect]There are now hundreds of factors in what John Cochrane famously called the zoo of factors. However, there are only a small number that meet the requirements for investment that my co-author, Andrew Berkin, and I establish in our book, Your Complete Guide to Factor-Based Investing: persistence, pervasiveness, robustness, implementability, and intuitiveness. Momentum (both
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Backtesting Four Portfolio Optimization Strategies In R [Capital Spectator]Investing strategies run the gamut, but every portfolio shares a common goal: delivering optimal results. The catch is that theres a wide range of possibilities for defining optimal and so your mileage may vary, depending on preferences, assets, and other factors. Eran Raviv offers a useful review by comparing how four strategies with different portfolio-design strategies stack up via