This is a summary of links featured on Quantocracy on Monday, 08/06/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean Reversion and Bond ETF Returns [Flirting with Models]In July 2016, we argued that bond investors should be quick to celebrate the strong returns they had realized year-to-date. The combination of a defined maturity and known coupon rate creates a gravitational pull for bond returns. Using a global bond ETF universe, we develop a simple model to forecast future 1-year returns. The model suggests that mean reversion is a strong forecaster of future
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Momentum Variations [Factor Research]The simplicity of the Momentum factor can be intellectually challenging Various alternative Momentum versions highlight remarkable similar return profiles The robustness is an attractive characteristic of the investment strategy INTRODUCTION What do selfies, the Kardashians, Crocs, blue cheese, and Boris Johnson have in common? They all rank within the top 50 things that split the opinion of
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An Extensive Test of Market Timing Strategies in the Gold Market [Quantpedia]While the literature on gold is dominated by studies on its diversification, hedging, and safe haven properties, the question When to invest in gold? is generally not analyzed in much detail. We test more than 4,000 seasonal, technical, and fundamental timing strategies for gold. While we find large gains in economic terms relative to the buy-and-hold benchmark for several strategies, the
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Getting Down To Business! [System Trader Success]In the previous parts of this 3-part article (see part 1 and part 2), I introduced you to algo trading, and then discussed features of algo trading, along with advantages and disadvantages. Algo trading can definitely help you compete with the big boys, but it is not automatically a supertrader creator. There is no easy way to trade, and algo trading is no exception. Rest assured there