This is a summary of links featured on Quantocracy on Wednesday, 07/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Out-of-sample testing and luck [Alvarez Quant Trading]Continuing from the last post, I will show how using different definitions of passing our out-of-sample test can change our results. How luck can play a role if you use only one strategy to test in out-of-sample. How you split your in-sample(IS) and out-of-sample(OOS) can change results. The Strategy I will be using a stock mean reversion strategy with an average hold of three days. Some of my
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Avoiding Overpriced Winners: A Better Way to Capture the Momentum Premium? [Alpha Architect]Any frequent reader of our blog knows we are fans of momentum investing. At this point, investment professionals should know that momentum historically works, that momentum is painful, and we have our own opinions on how to implement momentum investing via our Quantitative Momentum Index. Sometimes we feel there is nothing new when it comes to momentum. However, a new momentum investing paper,
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“Past performance is no guarantee of future results”, but helps a bit [Quant Dare]We are rather used to reading this disclaimer (or some variation thereof) in mutual fund prospectuses or investment vehicle webpages. Despite warnings, investors and advisors insist on considering past performance (and some other related metrics) as important factors in asset selection. But, are they really wrong? In this post, I will try to shed some light on this topic by means of some metrics