This is a summary of links featured on Quantocracy on Monday, 07/16/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Momentum’s Magic Number [Flirting with Models]In HIMCOs May 2018 Quantitative Insight, they publish a figure that suggests the optimal holding length of a momentum strategy is a function of the formation period. Specifically, the result suggests that the optimal holding period is one selected such that the formation period plus the holding period is equal to 14-to-18 months: a somewhat magic result that makes little intuitive,
-
A look at SOMA changes influence on SPX since Quantitative Tightening began [Quantifiable Edges]The chart below is from this weekends QE subscriber letter. It is one I have updated frequently the last few months. It looks at compound performance of two opposing strategies. The blue line represents a strategy that is invested in the market during weeks that the Feds SOMA account value rises. During weeks where the SOMA declines, the blue line is sidelined (earning no interest). The red
-
Portfolio Craftsmanship is Just as Important as Choosing an Investment Style [Alpha Architect]This is an important article for practitioners because it brings specific investing decisions that are often treated as afterthoughts, to the forefront in style-based investing. The authors propose that decisions made beyond the initial decision to invest in a style, such as value or momentum, are alpha-generating. The authors label this, Craftsmanship Alpha. Although the same style labels
-
Stock Portfolio Optimization [Factor Research]Portfolios frequently contain stocks representing duplicate factor risks or insignificant weights An optimisation process focused on factor exposure can increase the portfolio efficiency Increasing or decreasing factor exposure requires a view on expected factor performance and risks INTRODUCTION Gardens tend to lose their curated design quickly, if not cared for constantly, as grass, bushes and
-
Sell in May and Go Away? [Alpha Scientist]Most investors have heard the adage "Sell in May and go away" which reflects the common wisdom that markets perform less well during the summer months than during the winter. This anomaly is well described here. Many widely held beliefs go away, precisely because they're widely held and get priced into the market. I'd like to test the "sell in May" myth to see how