This is a summary of links featured on Quantocracy on Monday, 05/25/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Defensive Equity with Machine Learning [Flirting with Models]Defensive equity strategies are comprised of stocks that lose less than the market during bear markets while keeping up with the market during a bull market. Coarse sorts on metrics such as volatility, beta, value, and momentum lead to diversified portfolios but have mixed results in terms of their defensive characteristics, especially through different crisis periods that may favor one metric
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Long-Short vs Long-Only Implementation of Equity Factors [Quantpedia]How should be equity factor strategies implemented? In a long-only (smart beta) way? As a long-short strategy, as most of the hedge funds usually do? Or in a partially-hedged fashion by going long equity factor and shorting market to offset some of the market risks? There is no one universal answer as it depends on the investment mandate and constraints of each fund manager contemplating to
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Rolling and Expanding Windows For Dummies [Robot Wealth]In todays article, we are going to take a look at rolling and expanding windows. By the end of the post, you will be able to answer these questions: What is a rolling window? What is an expanding window? Why are they useful? What is a Rolling or Expanding window? Here is a normal window. We use normal windows because we want to have a glimpse of the outside, the bigger the window the more of
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Joint predictability of FX and bond returns [SR SV]When macroeconomic conditions change rational inattention and cognitive frictions plausibly prevent markets from adjusting expectations for futures interest rates immediately and fully. This is an instance of information inefficiency. The resulting forecast errors give rise to joint predictability of currency and bond market returns. In particular, an upside shock to the rates outlook in a country