This is a summary of links featured on Quantocracy on Monday, 05/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Motivation: Why Do I Blog? [Quantocracy]A common concern I hear from many in our community of quantitative bloggers is defining their motivation to write for the long-term. Most begin writing without knowing what to expect, just happy to take a break from crunching numbers to interact with actual humans. Sometimes that optimism wanes though when the realities of lifes other responsibilities begin to pull at their time. Throw in a
Alternative Beta can be Great: But Beware of Data-Mining! [Alpha Architect]We investigate the biases in the backtested performance of alternative beta strategies using a sample of 215 commercially promoted trading strategies across five asset classes. Our results lend support to the cautions in recent literature regarding backtest overfitting and lack of robustness in trading strategy performance during the live period (out of sample). We report a median 73%
The two sources of outperformance [Flirting with Models]This blog post is available for download here. Summary When a manager outperforms, it implies that other investors have underperformed. In understanding an investment process, we believe it is critical to understand the source of this outperformance to determine whether it is sustainable or not. We believe there are two key sources of outperformance: exploiting investor behavior and being