This is a summary of links featured on Quantocracy on Monday, 05/17/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Idea Streams #3 Seeking Diversification Amidst Global Market Correlations [Quant Connect]The CSI 300 is a capitalization-weighted stock market index that tracks the top 300 stocks listed on the two main stock exchanges in mainland China. In April 2020, South China Morning Post reported that the 120-day correlation between the CSI 300 Index and the S&P 500 index recently rose to its highest level since Bloomberg began compiling the data in 2002. The rise in correlation can be
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Max Sortino Added to the Portfolio Optimizer (And Whether That Matters) [Allocate Smartly]We track more than 60 Tactical Asset Allocation strategies, which members can combine together into custom portfolios. To make creating those portfolios easier, we provide an optimizer showing the best performing combinations of strategies based on the members investment objective, such as maximizing the Sharpe Ratio (risk-adjusted return) or minimizing volatility. By popular demand, weve
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$SPX Loves Tax Day [Quantifiable Edges]In the 4/12/19 blog I showed a study about US tax day (normally April 15th). The reason tax day may be important is that it is the last day that people can make IRA contributions to count for the previous tax year. This can create a last-minute rush and you will often have an inflow of funds heading into the market right around and on the day taxes are due. Fund managers will often put this money
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Managed Futures: Fast & Furious vs Slow & Steady [Factor Research]Managed futures strategies aim to exploit short- or long-term trends Short-term trend followers are often seen as offering better stock market crash protection characteristics Our analysis highlights that the differences are marginal INTRODUCTION Aesops famous story of the race between the tortoise and the hare was put up to a test in 2016 when researchers made them compete with each other in
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Research Review | 14 May 2021 | Stock Returns [Capital Spectator]Long-Horizon Stock Returns Are Positively Skewed Adam Farago and Erik Hjalmarsson (University of Gothenburg) April 28, 2021 At long horizons, multiplicative compounding induces strong-to-extreme positive skewness into stock returns; the magnitude of the effect is primarily determined by single-period volatility. Consequently, at horizons greater than five years, returns individual or
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The macro forces behind equity-bond price correlation [SR SV]Since the late 1990s, the negative price correlation of equity and high-grade bonds has reduced the volatility of balanced portfolios and boosted Sharpe ratios of leveraged long-long equity-bond strategies. However, this correlation is not structurally stable. Over the past 150 years, equity-bond correlation has changed repeatedly. A structural economic model helps to explain and predict