This is a summary of links featured on Quantocracy on Monday, 06/10/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio construction tilting towards higher moments [Eran Raviv]When you build your portfolio you must decide what is your risk profile. A pension funds risk profile is different than that of a hedge fund, which is different than that of a family office. Everyones goal is to maximize returns given the risk. Sinfully but commonly risk is defined as the variability in the portfolio, and so we feed our expected returns and expected risk to some optimization
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Quantitative Styles and Multi-Sector Bonds [Flirting with Models]In this commentary we explore the application of several quantitative signals to a broad set of fixed income exposures. Specifically, we explore value, momentum, carry, long-term reversals, and volatility signals. We find that value, 3-month momentum, carry, and 3-year reversals all create attractive quantile profiles, potentially providing clues for how investors might consider pursuing higher
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Strategy Risk vs Asset Risk [Two Centuries Investments]Alternative Title: How to Avoid Bad Manager Timing Lets look at the two types of risks in most investments: Strategy Risk: If you own a black-box go-anywhere hedge fund that invests long and short and uses futures and derivatives at any frequencies, you are mostly exposed to the strategy risk. It doesnt really matter what is happening to the underlying assets – the strategy either
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The Case Against Small Caps [Factor Research]The performance of the Size factor in the US was positive since 1926, but not particularly attractive Returns in Europe were more favorable, but not in Japan Alternative metrics to market capitalization would not have resulted in better performance SMALL VERSUS LARGE STOCKS In the David vs. Goliath scenario, a smaller, weaker character faces down and defeats a larger and stronger opponent. Such
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State of Trend Following in May [Au Tra Sy]Strong result in May for the Trend Following index, taking the Year-to-Date performance in positive territory. Please check below for more details. Detailed Results The figures for the month are: May return: 5.01% YTD return: 2.94% Below is the chart displaying individual system results throughout May: StateTF May And in tabular format: System May Return YTD Return BBO-20 16% 6.37% Donchian-20