This is a summary of links featured on Quantocracy on Thursday, 05/19/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend Following: Timing Fast and Slow Trends [Alpha Architect]Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well-researched asset pricing anomalies. In our book Your Complete Guide to Factor-Based Investing, Andrew Berkin and I presented the evidence of a premium that has been persistent across long periods of time, pervasive around the globe and across
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How to Increase Factor Definition Robustness [Quant Dare]When dealing with factors information is important to go to the detail and get insight about how the factor is built. Ratios combination improves robustness. When we read papers or studies about the Factor Premium of different factors we almost always come across with the problem of how to define those factors: If we talk about Value Factor, we read in many papers that the factor is measured by
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Can You Predict Cryptocurrencies? [Decoding Markets]The Nobel price laureate physicist Niels Bohr once said, Prediction is very difficult, especially if its about the future. This quote captures the reality in the markets rather accurately. Is Bitcoin breaking through the 50k mark this year? Or even the 100k mark? Will Ethereum outperform Solana between now and the end of the year? Will Bitcoin close higher or lower by the end of the week?