This is a summary of links featured on Quantocracy on Tuesday, 05/21/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Gaussian gold [OSM]Our previous post, used hierarchical clustering to identify market regimes in the gold miners ETF, GDX. This was inspired by a post from PyQuant News that highlighted a longer article from the London Stock Exchange Group (LSEG). In this post, well continue looking at identifying market regimes and using those predictions as signals for a simple trading strategy. As noted, the LSEG article
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How to easily improve your Sharpe ratio (in no time) [PyQuant News]Systematic risk affects the entire market and impacts the Sharpe ratio. Any trading strategy must consider the impact of systematic risk. While a strategy must involve some risk to make money, systematic risk cannot be diversified away. So, we need to build a hedge to get rid of it. By hedging systematic risk, we can better protect our strategies and ultimately outperform the market. After having
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Skewness of Funds – Friend or Foe? [Finominal]Some funds exhibit strong skewness profiles Skewness is highly time-varying and not necessarily a negative criteria Should be measured but unlikely managed INTRODUCTION The trouble with investing in emerging markets is that they are quite different, which requires extensive due diligence on each of them, and they also can change quickly. For example, take Argentina versus China. The former has