This is a summary of links featured on Quantocracy on Friday, 05/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
100-Years of Multi-Asset Trend-Following [Quantpedia]Trend-following strategies have gained extreme popularity in the recent decade. Almost every asset manager utilizes trend following, or momentum, in some form whether consciously or subconsciously. We at Quantpedia are convinced that each and every strategy has to be scrutinized thoroughly before its put into use. This is one of our motivations why we will introduce to you our framework for
Strategies to Mitigate Tail Risk [Alpha Architect]Investors care about more than just returns. They also care about risk. Thus, prudent investors include consideration of strategies that can provide at least some protection against adverse events that lead to left tail risk (portfolios crashing). The cost of that protection (the impact on expected returns) must play an important role in deciding whether to include them. For example, buying