This is a summary of links featured on Quantocracy on Friday, 09/21/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Research Review | 21 September 2018 | Volatility [Capital Spectator]Hedging With Volatility Mario Alagoa (Sacred Heart University) May 9, 2018 A risk-averse investor with a long equity position is presumably interested in identifying a hedging strategy that protects the value of that investment. The common approach encompasses using either financial derivatives or holding assets (such as gold or Swiss francs) as portfolio hedges as they show negative correlation
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Alpha Architect Weekly Research Recap (Jack & Ryan) [Alpha Architect]You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a paper by Linda Zhang investigating the volatility of leveraged ETFs. Second, we discuss an article (and corresponding video and PPT slides from Wes) examining stock momentum strategies. The talk is titled Momentum Investing, Simple, but not Easy.