This is a summary of links featured on Quantocracy on Friday, 06/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Diversifying Your Value Portfolio? Quality Works, but Have You Heard of Momentum? [Alpha Architect]What if your portfolio was only based on one idea? Something like stocks always go up or value always beats growth. You may be learning a humbling lesson right now that Mr. Market has taught us over and over again (and learning it the painful way). In this post, well examine various ways value-centric investors can potentially improve their portfolio outcomes by pooling together
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Political market making [Cuemacro]It is challenging to understand how to model external shocks when trading financial markets. However, in recent years, it has become particularly notable that these risks, such as Brexit, the election of Trump, or coronavirus can greatly impact markets. Hence, we need to have a way to model them. In this paper we investigate the Thorfinn Sensitivity Index (TSI) which quantifies event risks related
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Performance anxiety [OSM]In our last post, we took a quick look at building a portfolio based on the historical averages method for setting return expectations. Beginning in 1987, we used the first five years of monthly return data to simulate a thousand possible portfolio weights, found the average weights that met our risk-return criteria, and then tested that weighting scheme on two five-year cycles in the future. At
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YTD Performance of Crisis Hedge Strategies [Quantpedia]After a month, we are back with a year-to-date performance analysis of a few selected trading strategies. In the previous article, we were writing about the performance of equity factors during the coronavirus crisis. Several readers asked us to take a look also on different types of trading strategies, so we are now expanding to other asset classes. We picked a subset of strategies that can be