This is a summary of links featured on Quantocracy on Thursday, 08/04/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Most Useful Investment Blogs [Dual Momentum]As with many people these days, most of my investment information comes from the internet. It has taken me years to compile a group of research-oriented blogs and websites that I have found most useful. Here is my list: Investment Blogs Quantocracy: This is an aggregator of quantitative trading links to blog posts and research articles. It covers a broad range of ideas from coding to theory. So
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How Do VelocityShares’ BSWN, LSVX, & XIVH Work? [Six Figure Investing]The indexes that power VelocityShares new BSWN, LSVX, and XIVH funds have been live since 2011, but they havent been directly accessible via exchange traded products until July 2016. The goals of these new funds are pretty straightforward, on the long side BSWN & LSVX track upside volatility with some fidelity while minimizing decay costs, while XIVH captures the premium typically available
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50 Years Of Sharpe Ratio Analysis: Useful But Easily Abused [Capital Spectator]The Sharpe ratio was introduced half a century ago and its still going strong. Although the world is now awash with competitors, the granddaddy of quantitative risk metrics endures. Its longevity and widespread use drives some analysts batty, but for good or ill the SR is deeply embedded into the fabric of risk management discussions and analytics. Part of its appeal is its simplicity, but that
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Flat and Slightly Down for Trend Following in July [Wisdom Trading]June 2016 Trend Following: UP -1.34% / YTD: -0.92% Not much volatility for the index in the month of July. It started around +1% and finished around -1% with little amplitude in the middle. The YTD just turned slightly negative. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for July: Wisdom State of Trend Following – July 2016 And the