This is a summary of links featured on Quantocracy on Monday, 04/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum Is Dead! Long Live Momentum! [Robot Wealth]In our inaugural Algo Bootcamp, we teamed up with our super-active community of traders and developed a long-only, always-in-the-market strategy for harvesting risk premia. It holds a number of different ETFs, varying their relative weighting on a monthly basis. Were happy with it. However, the perennial question remains: can we do better? As you might expect, we found evidence suggesting that
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Asset Allocation Roundup [Allocate Smartly]Four recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Bond ETFs in an Era of Rising Rates (Better Buy & Hold) This is our first post from our new platform BetterBuyAndHold.com. Bonds face stiff headwinds in the coming years, and many will underperform what investors have grown accustomed to. Thats not prognostication; its a mathematical certainty.
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Style Surfing the Business Cycle [Flirting with Models]In this commentary, we ask whether we should consider rotating factor exposure based upon the business cycle. To eliminate a source of model risk, we assume perfect knowledge of future recessions, allowing us to focus only on whether prevailing wisdom about which factors work during certain economic phases actually adds value. Using two models of factor rotation and two definitions of business
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Case Study: Quantpedia’s Composite Seasonal / Calendar Strategy [Quantpedia]Despite the economical theory states that financial markets are efficient and investors are rational, a large ammount of research is about anomalies, where the result is different from the theoretical expectation. At Quantpedia, we deal with anomalies in the financial markets and we have identified more than 400 attractive trading systems together with hundreds of related academic papers. This
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12 Books on Factor Investing by Asset Managers [Two Centuries Investments]Quantitative Portfolio Management by Edward Qian, Ronald Hua, Eric Sorensen Expected Returns by Antti Ilmanen Quantitative Value by Wesley Gray and Tobias Carlisle Quantitative Momentum by Wesley Gray and Jack Vogel Dual Momentum Investing by Gary Antonacci Little Book that Still Beats the Market by Joel Greenblatt Complete Guide to Factor Investing by Andrew Berkin and Larry Swedroe What Works on
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Equity Factors & The Mighty US Dollar [Factor Research]The US dollar had a slightly negative relationship with the stock market since 1996 Some equity factors are more sensitive to changes in the US dollar than others On average the sensitivity is zero, but as often averages are misleading INTRODUCTION The Economists Big Mac Index measures if currencies are over- or undervalued by comparing the implied versus actual exchanges rates of foreign
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The implicit subsidies behind simple trading rules [SR SV]Implicit subsidies are premia paid by large financial markets participants for reasons other than risk-return optimization (view post here). Their estimation requires skill and a strong quantamental system. However, implicit subsidies are behind the popularity and temporary success of many simple trading rules, including those based on variance risk premia, contract hedge value, short