This is a summary of links featured on Quantocracy on Monday, 07/25/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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What is the Proper Benchmark for Momentum or Trend-Following Strategies? [Blue Sky AM]Most academics and practitioners tend to compare momentum or trend-following strategies to a buy and hold investment strategy. They do so by comparing the results of the strategies to a benchmark that is a proxy for buy and hold. From this type of analysis many experts justify why the strategies are either superior to buy and hold, or on the contrary side why they arent worth pursuing.