This is a summary of links featured on Quantocracy on Monday, 08/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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A quick example on using next day open-to-open returns for Tactical Asset Allocation [QuantStrat TradeR]First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some analytical reporting coding for them in Python, I am on the job market. Feel free to find my LinkedIn here. This post will cover how to make tactical asset allocation strategies a bit more realistic with regards to execution. That is, by using next-day open-to-open rather than
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Building a Long Volatility Strategy without Using Options [Factor Research]Long volatility strategies can be built without using options Portfolios would have primarily consisted of certain currency pairs and treasury bonds They lack explosive returns when volatility spikes, but they also lack the bleed INTRODUCTION Almost all asset classes are implicitly short volatility as they are bets on the economy doing well. Occasionally there are periods like during the tech
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Factor Investing and International Markets [Alpha Architect]nternational markets have been a fertile testbed for factor research because they offer an opportunity to test old ideas on new data. Much of the previous work studying factor structure and risk premia in international markets uses highly aggregated test assets, such as country portfolios, industry portfolios, or style portfolios. In this paper, the authors propose a methodology customized for