This is a summary of links featured on Quantocracy on Friday, 07/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Talking to the dead / simple heuristic position selection / small account problems – part four / EPIC FAIL #2 [Investment Idiocy]Over the last few posts I've been grappling with the difficulties of trading futures with a retail sized account. I've tried a couple of things so far – a complex dynamic optimisation (here and here) where I try and optimise the portfolio every day in the knowledge that I can only take integer positions, and then a simpler static approach where I try to pick the best fixed set of
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Low Volatility Factor Investing: How Investment Horizon Affects Results [Alpha Architect]Two of the more interesting puzzles in finance are the high beta anomaly (high beta stocks have lower returns) and the IVOL anomaly (stocks with greater idiosyncratic volatility have produced lower returns). These are anomalies because both beta and IVOL are viewed as risk factors and should be rewarded with higher, not lower, returns. While both anomalies have attracted much attention from