Quantocracy’s Daily Wrap for 08/21/2023

Weve previously covered Links Global Growth Cycle strategy, which uses OECD Composite Leading Indicator (CLI) data to time the market. The strategy has navigated the market gyrations over the last few years well, so naturally its gotten the attention of members. Recent strategy results follow. Learn about what we do and follow 70+ asset allocation strategies like this one in near

In 2021, James, I, and a small team decided to set up a crypto trading venture. We faced several problems, but knowing almost nothing about crypto was the most significant. We sensed that the fractured, developing nature of the crypto market would likely be a good place to seek out inefficiencies, but beyond that, we were winging it. That turned out to be very true inefficiencies abounded in

Factor seasonality always seemed to be an idea that was too close to factor timing to help build factor strategies. Surprisingly, the authors find a substantial factor seasonality effect across global markets, suggesting that the assumption is unwarranted. This is the first study I have encountered that tested the proposition that portfolios sorted twice on a specific factor first and high returns

Portfolio Selection via Topological Data Analysis Petr Sokerin, Kristian Kuznetsov, Elizaveta Makhneva, Alexey Zaytsev Portfolio management is an essential part of investment decision-making. However, traditional methods often fail to deliver reasonable performance. This problem stems from the inability of these methods to account for the unique characteristics of multivariate time series data