This is a summary of links featured on Quantocracy on Monday, 05/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Trading Strategy: 52-Weeks High Effect in Stocks [Quant Insti]In todays algorithmic trading having a trading edge is one of the most critical elements. Its plain simple. If you dont have an edge, dont trade! Hence, as a quant, one is always on a look out for good trading ideas. One of the good resources for trading strategies that have been gaining wide popularity is the Quantpedia site. Quantpedia has thousands of financial research papers that
Expectations with Tactical Equity [Flirting with Models]Market expectations are a key input in the portfolio construction process. These expectations can be either qualitative or quantitative. How to form expectations for more complex strategies (e.g. managed futures, covered calls, and alternatives) is often less straightforward than forming expectations for single asset classes (e.g. large-cap equities, gold, and long-term U.S. Treasuries). In the
Factor Persistence & Diversification [Larry Swedroe]Financial research has uncovered many relationships between investment factors and security returns. Given that popularity is a curse in investing, the growing popularity of factor investing has led to worries that factors have become overvalued, posing risks to investors in these strategies. For investors, an important question is whether the past relationship between factors and returns will