This is a summary of links featured on Quantocracy on Tuesday, 05/18/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
More Robust Strategies [Financial Hacker]The previous article dealt with John Ehlers AM and FM demodulating technology for separating signal and noise in price curves. In the S&C June issue he described a practical example. Applying his FM demodulator makes a strategy noticeably more robust at least with parameter optimization. The simple example strategy is basically a short-term trend follower. The price curve is
ESG Performance Breakdown by E, S, and G [Alpha Architect]The relationship among ESG ratings from third-party providers has historically produced conflicting results. Differences in sourced information and weighting schemes have produced low correlations between ratings and as a result, have handicapped the efforts to understand the relationship between ESG ratings and performance. Consequently, the credibility and willingness to use and invest utilizing