This is a summary of links featured on Quantocracy on Monday, 08/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value and Momentum in a Cone [Two Centuries Investments]One of the most effective performance reporting formats I know is a Cone Chart, popularized by Bridgewater Associates. Here are some reasons why a Cone Chart is so effective: It clearly establishes ex-ante expectations of both return and volatility. When actual outcomes deviate within expectations, its just volatility, not risk (see Volatility vs Risk) It effectively captures both the drawdown
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Your Style-age May Vary [Flirting with Models]New research from Axioma suggests that tilting less through lower target tracking error can actually create more academically pure factor implementation in long-only portfolios. This research highlights an important question: how should long-only investors think about factor exposure in their portfolios?Is measuring against an academically-constructed long/short portfolio really
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Quant Strategies: Theory vs Reality [Factor Research]The live performance of quant strategies is significantly worse than in backtesting Factor investing returns from research are frequently challenged as being overstated However, the performance of smart beta and long-short multi-factor funds match theoretical returns INTRODUCTION When pitching an investment product with a backtested history the frequent response from potential investors is that
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A Historical Look at Opex Week in August [Quantifiable Edges]It is options expiration week this week. Options expiration weeks often have a bullish tendency. You can see it broken down by month in this post from March. But the summer months of June, July, & August have not seen that same bullish tendency. Augusts performance has actually been net negative. June is the only other negative month. Below is a look at the profit curve for August.