This is a summary of links featured on Quantocracy on Monday, 06/29/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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How Trend Following Strategies Shape Return Distributions [Alpha Architect]Crisis Alpha is on everyones mind right now, maybe due to a bit of recency bias, but regardless of the reason thinking of and preparing for tail-risk is best done before its needed. Trend following is one such strategy that is rooted in academic research and is an enticing way to manage large drawdown risk, though not without the occasional trip on the Pain Train. The author,
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The Variance Risk Premium: What Premium? [Factor Research]Harvesting the variance risk premium has a sound theoretical foundation However, actual investment products have generated poor returns Furthermore, they are correlated to equities, providing few diversification benefits INTRODUCTION Investing is akin to fighting in a never-ending war. There are long periods of peace and prosperity, but investors are frequently drawn into short-term combat,