This is a summary of links featured on Quantocracy on Monday, 06/14/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Financial Mentor’s All-Weather Quad Momentum [Allocate Smartly]This is an independent test of the tactical strategy All-Weather Quad Momentum (AWQM) from Todd Tresidder of FinancialMentor.com. Many of our members came to us from Financial Mentor, so its fitting that we add a strategy to our platform that demonstrates his approach to asset allocation. Backtested results from 1970 follow. Results are net of transaction costs (see backtest assumptions).
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Markowitz Model [Quantpedia]We again present a short article as an insight into the methodology of the Quantpedia Pro report this time for the Markowitz Portfolio Optimization. As usually, Quantpedia Pro allows the optimization of model portfolios built from the passive market factors (commodities, equities, fixed income, etc.), systematic trading strategies and uploaded users equity curves. The current report helps
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Can Hedge Funds Successfully Time Factors? [Alpha Architect]This study pulls together several threads in the academic literature: (1) the persistence of hedge fund outperformance; (2) the apparent use of time-varying beta exposures by hedge funds, where betas are predicated on conditions such as leverage, carry trade, major events and conditions in the equity market; and (3) the timing of equity and market factors, as a strategy. The research summarized in
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Create a Personal Portfolio/Wealth Simulation in Python [Python For Finance]This post will introduce the first part (of multiple) where we build up a personal finance model to help simulate future time periods based on certain chosen input variables. We will input variables such as our current investable asset base, our annual salary, expected monthly inflows and outflows and a range of other relevant values. Firstly, after our necessary imports, we look to start on
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Mid-Caps The Hidden Champions? [Factor Research]Mid-cap stocks are less popular than small or large caps In the US, they only outperformed in one out of 10 decades Globally, they have done better, creating a conundrum for investors INTRODUCTION A few weeks ago, David Stevenson, a well-known journalist and entrepreneur, asked me about my view on mid-cap stocks. To my own surprise, I had no view. Although Ive published more than 150 research
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Markets neglect of macro news [SR SV]Empirical evidence suggests that investors pay less attention to macroeconomic news when market sentiment is positive. Market responses to economic data surprises have historically been muted in high sentiment periods. Behavioral research supports the idea that investors prefer heuristic decision-making and neglect fundamental information in bullish markets, but pay more attention in turbulent