This is a summary of links featured on Quantocracy on Monday, 06/28/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Paul Novell’s Bond-COMP Tactical Bond Strategy [Allocate Smartly]This is a test of a tactical bond strategy from Paul Novell of Investing for a Living. It rotates between credit bond ETFs and defensive assets based on the same rules as his popular SPY-COMP strategy. Backtested results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 60+ asset allocation strategies like this one in near
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Factor Exposure Analysis: Exploring Residualization [Factor Research]Regression analysis is frequently subject to multicollinearity Independent variables can be residualized Using residualized variables in a factor exposure analysis identifies different drivers DISCLAIMER The worth of an econometrics textbook tends to be inversely related to the technical material devoted to multicollinearity Williams, R. Economic Record 68, 80-1. (1992) via Kennedy, A
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Bayesian vs. Frequentist in Practice, part 3 [Eran Raviv]This post is inspired by Leo Breimans opinion piece No Bayesians in foxholes. The saying there are no atheists in foxholes refers to the fact that if you are in the foxhole (being bombarded..), you pray! Leos paraphrase indicates that when complex, real problems are present, there are no Bayesian to be found. A nice illustration for why one would prefer the Bayesian approach over
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When Persistent Higher Highs Don t Suggest a Pullback [Quantifiable Edges]SPX managed to make an intraday high for the 5th day in a row on Friday. An interesting study from the Quantifinder looked at the possible impact of 5 higher highs occurring. The studies examined the impact of the position of the market when the 5 higher highs occurred. I broke it down again over the weekend. I wanted to see all times the 5 higher highs were accompanied by a 50-day high versus
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A market-to-book formula for equity strategies [SR SV]A new proxy formula for equity market-to-book ratios suggests that (the logarithm of) such a ratio is equal to the discounted expected value of (i) differences between return on equity and market returns and (ii) the net value added from share issuance or repurchases. A firm with a higher market-to-book ratio must have lower future returns, higher return on equity, or more valuable growth or