This is a summary of links featured on Quantocracy on Friday, 06/12/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Performance and correlated assets [Quant Dare]It is well known that an efficient portfolio should be comprised by uncorrelated assets. The objective is to cover possible widespread falls of all portfolios assets. But, what actually is the negative effect of investing in correlated assets? Does the correlation benefit at anytime? How often does the correlation work against the earnings? Firstly, we focus on S&P500 in o
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Dual Momentum June Update [Scott’s Investments]Scotts Investments provides a free Dual ETF Momentum spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonaccis book, Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, also details Dual Momentum as a total portfolio strategy. My
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Momentum Across Time & Asset Classes [Larry Swedroe]The academic study of price momentum has intensified considerably since 1993, the year Narasimhan Jegadeesh and Sheridan Titman's paper, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," appeared in The Journal of Finance. The authors found that buying winning stocks and selling losers generated significant positive returns over three- to
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Lazy PCA Site [John Orford]Lots of posts in the past week about breaking down time series returns into momentum and mean reversion. Vix Equity Momentum Mean Reversion + Momentum strategy Now you can PCA too! I have added an interface to the code I have been using and called it Lazy PCA. Try it out and let me know what you think!