This is a summary of links featured on Quantocracy on Friday, 05/07/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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How I learned to stopped worrying and love the Bitcoin (future) [Investment Idiocy]For the last seven years since I started trading my own account I've pretty much kept the same set of futures markets: around 40 or so, with very occasional changes. The number is limited, as to trade more markets I'd need more capital. The set of markets I have is a compromise between getting a diversified portfolio, avoiding low volatility, not paying too much in trading costs, not
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Accelerating Dual Momentum Redux: Longer History, Tempered Expectations [Allocate Smartly]This is a follow up to a strategy weve covered previously: Accelerating Dual Momentum (ADM) from EngineeredPortfolio.com. See our first test of ADM, which includes a description of the strategy rules and our own analysis of the strategy. Here weve extended our test by 20 years to include a less effective era for this strategy. Results from 1970 net of transaction costs follow. Read more
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Risk Parity Asset Allocation [Quantpedia]This article is a primer into the methodology we use for the Portfolio Risk Parity report, which is a part of our Quantpedia Pro offering. We explain three risk parity methodologies Naive Risk Parity (inverse volatility weighted), Equal Risk Contribution and Maximum Diversification. Quantpedia Pro allows the design of model risk parity portfolios built not just from the passive market factors