This is a summary of links featured on Quantocracy on Tuesday, 06/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Out of Sample Update on DDN s Volatility Momentum Trading Strategy and Beta Convexity [QuantStrat TradeR]The first part of this post is a quick update on Tony Coopers of Double Digit Numericss volatility ETN momentum strategy from the volatility made simple blog (which has stopped updating as of a year and a half ago). The second part will cover Dr. Jonathan Kinlays Beta Convexity concept. So, now that I have the ability to generate a term structure and constant expiry contracts, I decided
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Dynamic Asset Allocation for Practitioners, Part 2: The Many Faces of Price Momentum [Invest Resolve]In our last post, we covered the importance of a well-designed investment universe as a precondition for thoughtful diversification. In this second article on Dynamic Asset Allocation for Practitioners we will explore several methods for measuring price momentum to compare and contrast their utility under different portfolio concentration and asset universe specifications. What is momentum?
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You Don’t Want to Buy Vol, You Want to Sell Vol! [Meb Faber]That headline was a response I received from a handful of friends regarding my last post on buying puts as tail risk insurance. And I agree. Well, sort of. Its been long known that there exists a premium for selling insurancehey, otherwise why would anyone do it? Now what if you could combine the best of both? Selling vol to capture the premium but buying vol to protect against big down
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Isolating the Monkey Effect [Markov Processes]Continuing our exploration into the smart beta segment (Part 1, Part 2), in this third post we introduce a simple IQ Test that can help investors and managers measure the smartness of the increasing number of non-cap-weight rules-based products on the market. There are numerous arguments in circulation saying that smart beta in general isnt particularly smart. A prominent one,