This is a summary of links featured on Quantocracy on Tuesday, 06/07/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean-Variance Optimization in Practice: Subset Resampling-based Efficient Portfolios [Portfolio Optimizer]In a previous post, I introduced near efficient portfolios, which are portfolios equivalent to mean-variance efficient portfolios in terms of risk-return but more diversified in terms of asset weights. Such near efficient portfolios might be used to moderate the tendency of efficient portfolios to be concentrated in a very few assets, a well-known stylized fact of the Markowitzs mean-variance
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One-Month Trading Strategies [Falkenblog]About half of Robecos Quantitative Investing team recently published a short paper on monthly trading strategies (see Blitz et everybody Beyond Fama-French Factors: Alpha from Short-Term Signals Frequencies). I can imagine these guys talking about this stuff all the time, and someone finally says, this would make a good paper! Short-Term refer to one-month trading horizons. Anything
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Do Connections Pay Off in the Bitcoin Market? [Alpha Architect]Traditional asset pricing theory holds that the workings of information networks among investors are good descriptors of equity markets. Investors that are better informed about fundamentals and who trade earlier than less well informed investors will receive higher returns. As the better information is passed on through trading, less informed investors will eventually join in
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Factor Exposure Analysis of Fixed Income ETFs [Factor Research]Factor exposure analysis can be used in fixed income as easily as in equities More variables improve the explanatory power of the model However, it also can make the interpretation challenging INTRODUCTION Running a factor exposure analysis is a core element of the due diligence process for equity-focused mutual funds, and increasingly ETFs, especially actively managed ones. The holy grail is to