This is a summary of links featured on Quantocracy on Saturday, 04/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Fixed income carry as trading signal [SR SV]Empirical evidence for 27 markets suggests that carry on interest rate swaps has been positively correlated with subsequent returns for the past two decades. Indeed, a nave strategy following carry as signal has produced respectable risk-adjusted returns. However, this positive past performance masks the fundamental flaw of the carry signal: it disregards the expected future drift in interest
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Are Trend-Following and Time-Series Momentum Research Results Robust? [Alpha Architect]The authors discuss a variety of past research papers on time-series momentum but pay particular attention to the Moskowitz, Ooi, and Pedersen (MOP) 2012 JFE paper, Time Series Momentum. This paper is arguably the first paper in recent memory to crack the top-tier academic journals with a paper on trend-following, often considered by the current ivory tower establishment to be a shoddy