This is a summary of links featured on Quantocracy on Friday, 08/18/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5) [Alpha Architect]We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example of a risky asset is an investable stock market index. When it comes to the safe asset, even though financial theory assumes its existence, there are no completely risk-free assets in financial markets. A short-term Treasury bill (with time to maturity from