This is a summary of links featured on Quantocracy on Monday, 06/17/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Time-Series Signals and Multi-Sector Bonds [Flirting with Models]We expand last weeks commentary to explore momentum, carry, value, and long-term reversal signals in a time-series context. Using these signals, we generate long/short portfolios for each asset class. We use a sub-sampling methodology to bootstrap and annualized return distribution. We find that the signals are only selectively significant, and rarely consistent. We believe this initial study
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A Horse Race of Liquid Alternatives [Factor Research]Investors can access alternative strategies via mutual funds and ETFs Most of these show moderate to high correlations to equities, which is concerning Bonds would have been a better diversifier in recent years INTRODUCTION Investing is challenging as it is complex and complicated, which requires continuous learning and updating of mental frameworks. Conflicts and contradictions are found