This is a summary of links featured on Quantocracy on Thursday, 05/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hedge Fund Data Hygiene: Tips and Tricks [Rayner Gobran]The results of data analysis are only as good as the data you use. There are a variety of hedge fund data vendors out there. You may have access via your Bloomberg terminal, or perhaps you have purchased access to data from a well-known hedge fund data vendor. Regardless of your data source there will always be issues with the data: The data vendor is constrained by database architecture decisions
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Trend Following in April [Wisdom Trading]Please find below this months Wisdom State of Trend Following report. Performance is hypothetical Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann. Vol. Last month 1.28% 9.77% Year To Date -5.03% 16.19% Last 12 months -9.94% 13.31% Last calendar year (2017) -16.2% 10.96% Since Index Launch (08-13) -4.85% 13.81% Current DD -43.78% MaxDD (since 2000)