This is a summary of links featured on Quantocracy on Monday, 07/30/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Measuring Process Diversification in Trend Following [Flirting with Models]We prefer to think about diversification in a three-dimensional framework: what, how, and when. The how axis covers the process with which an investment decision is made. There are a number of models that trend-followers might use to capture a trend. For example, trend-followers might employ a time-series momentum model, a price-minus moving average model, or a double moving average
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Factors: Shorting Stocks vs The Index [Factor Research]Most factor investing research is based on long-short stock portfolios Investible risk premia strategies often feature a short index position Trade-off between theoretical alpha and implementation costs & efficiency INTRODUCTION Amundi, a French asset manager, was the first institution to launch a European multi-factor ETF that was market neutral, the Amundi ETF iSTOXX Europe Multi-Factor
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Finance Journals Rarely Publish Articles with low T-stats [Alpha Architect]Coined by Rosenthal in 1979, the term file drawer problem refers to the notion that journal editors are biased toward accepting articles that include statistically significant results over those with nonsignificant results. The competition for increasing the citation count and improving journal impact numbers is considerable and primarily driven by the fact that articles with significant results
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Review: Quantpedia.com [Throwing Good Money]Quantpedia contacted me a few months ago and asked if Id be interested in reviewing their site on my blog. Im always looking for new ideas for trading systems, so I said sure! (Disclosure: they provided me with free account access during the review period.) Quantpedia.com is an aggregator and interpreter of academic papers on trading and financial research. An encyclopedia of
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Predictability of Betting-Against-Beta Factor [Quantpedia]The leverage aversion theory implies that returns to the betting-against-beta (BAB) strategy are predictable by past market returns: An outward shift in investors' aggregate demand function simultaneously increases market prices and increases the expected future BAB return. I confirm the prediction empirically and find that the BAB strategy performs better in times when and in countries where