Quantocracy’s Daily Wrap for 06/16/2020

AI & Data Science in Trading Digital Week brings together experts in the use of AI and advanced data analytic techniques within asset management, primarily for finding alpha, managing risk and optimizing portfolios. Join us for a week long online event from wherever you are in the world. Use this time to continue to learn, network and utilize AI to optimize your investment workflow. During

At least once a year, the press and Twittersphere propagate the mistaken idea that investors can earn excess returns by buying the S&P 500 at the close of the market, then selling it at the open the next day. The logic is that by exposing themselves to only overnight returns, investors can seek to harness some form of information surprises by the way of earnings announcements or idiosyncratic

Defensive smart beta strategies like Low Volatility did not offer much capital protection in 2020 Long-short multi-factor investing generated negative returns, but still offered diversification benefits Managed futures finally found their redemption given positive & uncorrelated returns INTRODUCTION The best defense is a good offense is frequently quoted in the military (George