This is a summary of links featured on Quantocracy on Wednesday, 09/08/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
A New Return Asymmetry Investment Factor in Commodity Futures [Quantpedia]As mentioned several times, Quantpedia is a big fan of transferring ideas from one asset class to another. This article is another example; we use an idea originally tested on Chinese stocks and apply it to the commodity futures investment universe. The resultant return new asymmetry investment factor in commodities is an interesting trading strategy unrelated to other common factors and has a
-
Managing Data Outliers With Quantile Regression: Part I [Capital Spectator]One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. Its a common problem in economic and financial numbers. Fat tailed distributions are standard fare in stock market returns, for example. Meanwhile, the dramatic collapse in the economy during the pandemic last year is a reminder that outliers pop up in macro analytics too. That leads to
-
Do Cryptocurrencies Improve Portfolio Diversification? [Alpha Architect]Portfolio diversification benefits are often driven by correlation coefficients, but this analysis can get complicated, fast. Over time academics and practitioners have realized that it is not enough to simply calculate a correlation using short return intervals (daily?, monthly?) over a sample period (3 years?, 5 years?) and combine asset classes together based on the resulting correlation