Quantocracy’s Daily Wrap for 05/21/2021

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Its been over a month since our last post and for that we must apologize. We endeavor to be more prolific, but sometimes work and life get in the way. On the work front, lets just say we wont have to spend as much time selling encyclopedias door-to-door, which should free up more time to dedicate to writing value-added blog posts. On the life front, we had the chance to hike several

Pairs trading is popular due to its simple approach and effectiveness. At the heart of the strategy is how the prices of two assets diverge and converge over time. Pairs trading algorithms profit from betting on the fact that spread deviations return to their mean. One of the more notable hedge funds that implemented a pairs trading strategy was Long Term Capital Management. The company was

So the crypto markets on May 19th were fun!? If you have been a part of these markets for any time, this volatility is not that surprising. That said it is still pretty amazing that the price can drop 30% in a single day. This is maybe more surprising since it is to the backdrop of an increase in institutional investors and a narrative of this time its different. I was asked a question

The value spread is the difference between the value signal in the long versus the short portfolio. This isnt the first time we have hit on this topic. Wes and I have done several posts on the subject: Timing Value and Momentum with Valuation-Spreads The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value) The Forecasting Power of Value, Profitability, and Investment Spreads