This is a summary of links featured on Quantocracy on Monday, 05/11/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Straddles and Trend Following [Flirting with Models]The convex payoff profile of trend following strategies naturally lends itself to comparative analysis with option strategies. Unlike options, however, the payout of trend following is not guaranteed. To compare and contrast the two approaches, we replicate simple trend following strategies with corresponding option straddle strategies. While trend-following has no explicit up-front cost, it also
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How to Find Cheap Options to Buy and Expensive Options to Sell [Robot Wealth]If you want to make money trading, youre going to need a way to identify when an asset is likely to be cheap and when it is likely to be expensive. You want to be a net buyer of the cheap stuff and a net seller of the expensive stuff. Thanks, Capitain Obvious. Youre welcome. How does this relate to equity options? If we take the (liquid) US Equity options market as an example then there are
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Value Investing: Even Deeper History [Two Centuries Investments]In last weeks post we extended the systematic value factor (or at least a pretty good proxy of it) back to 1871. The response from readers was encouraging, perhaps because of the pain that value investing has been causing lately. Long-run history gives some relief. This week we dig deeper, reconstructing another 46 years of unseen history. As a result, we now have an extra 100 years of data for
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The Case Against Factor Investing [Factor Research]Factor investing is likely the best option for investors seeking to outperform the market However, the cyclicality of factors makes factor investing challenging when it underperforms Investors that do not understand this cyclicality are likely better served by plain, rather than smart beta FREE AINT EASY Free and easy are concepts that often go hand-in-hand. However, there are also many