This is a summary of links featured on Quantocracy on Monday, 07/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Worst One-Day Shocks and Biggest Geopolitical Events of the Past Century [Quantpedia]We dedicated several articles to how we created 100-year history for bonds, stocks, and commodities. Now we analyze the 50 worst one-day shocks and the following days in each of the abovementioned asset classes. In addition to that, we also look at how the Multi-Asset Trend-Following strategy performed during the same periods. Further, the second part of this article focuses on critical
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Crypto Tokens: Does Security Selection Matter? [Factor Research]More than 80% of cryptocurrency tokens trade below their first trading price Tokens are diverse in their functions, but all types have been losing money consistently Token financing seems to be more beneficial for the issuer than investors INTRODUCTION A falling stock market is not bad for everyone. Sure, many investors lose out as their portfolios decline in value, but those who are just starting
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An Investor s Guide to Crypto [Alpha Architect]With a capitalization of $1.3 trillion, cryptocurrencies are now (2022) roughly 50% of the value of US dollars and coins. What was once a fad, has now become prominent and increasingly diverse from an investors point of view. In response, this article discusses five key features and concepts critical to the understanding of the cryptocurrency space from the investors perspective. What are
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Trend following: combining market and macro information [SR SV]Classic trend following is based on market prices or returns. Market trends are relatively cheap to produce, popular, and plausibly generate value in the presence of behavioral biases and rational herding. Macro trends track relevant states of the economy based on fundamental data. They are more expensive to produce from scratch and generate value due to rational information inattentiveness. While