This is a summary of links featured on Quantocracy on Tuesday, 06/11/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Complexity is a virtue in return prediction [Alpha Architect]Finance has seen unprecedented growth in the use of artificial intelligence, specifically in machine learning models. Applications have included portfolio construction, stock analysis and in this case, the prediction of stock market returns. This paper discusses the benefits of using complex models as found in AI, over simple models such as ordinary least squares for predicting market returns. The
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Bonds versus CTAs for Diversification [Finominal]Although yields are higher, bonds have also become riskier Bonds and CTAs have generated similar diversification benefits since 1999 Applying a trend following overlay for equities was accretive in Europe and Japan INTRODUCTION In May 2021 we made the case that bonds have become less useful in asset allocation given low to negative expected returns based on low yields, and could be replaced with