This is a summary of links featured on Quantocracy on Friday, 05/31/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is Month-End Still the Best Time to Trade Tactical Strategies? [Allocate Smartly]Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on the last trading day of the month. A unique feature of our platform is the ability to follow these strategies on any other day of the month as well. Were not simply executing the same signal on other dates; were recalculating the strategys entire
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Revisiting Overnight vs Intraday Equity Returns [Robot Wealth]Back in May 2020, in the eye of the Covid storm, we looked at overnight vs intraday returns in US equities. Intuitively, wed probably expect to see higher average returns overnight when the market is closed because its much more difficult to hedge and manage our exposures when the cash market is closed, so we might expect to get paid a premium, on average, for taking that risk. And
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Talking VIX Trading and my NAAIM whitepaper with @BetterSysTrade [Quantifiable Edges]I had the pleasure of joining Andrew Swanscott on the Better System Trader podcast on Wednesday afternoon. We had a detailed discussion about VIX trading and my recent whitepaper that won the NAAIM Founders Award. It had been a long time since I was last on Andrews podcast, but he is always a fun person to speak with! I hope you enjoy it.
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Quality, Factor Momentum, and the Cross-Section of Returns [Alpha Architect]Of the hundreds of equity factors identified in the financial literature, there were only five that met the criteria Andrew Berkin and I established in our book Your Complete Guide to Factor-Based Investing. To be considered for investment, a factor must have provided a premium that was persistent across long periods and different economic regimes; pervasive across countries, regions, sectors, and