Quantocracy’s Daily Wrap for 09/23/2019

Enjoy 15% off with the promo code: QUANTOCRACY2019. The Quant Conference has been conceived as an educational setting where attendees can learn about the current trends in the field of quantitative finance. Furthermore, it brings a unique opportunity to network with aspiring students, professional peers, prospective employers, academics and investors. The Quant Conference's speakers roster of

Over the last few months, much of the financial press expressed concerns about the impact of inverted yield curves on financial markets, in particular, the stock returns. Some previous academic literature has shown that there exists a link between yield curves and economic growth (see references below). However, the question remains whether yield curve inversions can be used as a predictive

Recent research suggests that equity factors exhibit positive autocorrelation, providing fertile ground for the application of trend-following strategies. In this research note, we ask whether the same techniques can be applied to the active returns of long-only style portfolios. We construct trend-following strategies on the active returns of popular MSCI style indices, including Value, Size,

Investment portfolios can be simplified by separating alpha from beta Alpha + beta portfolios offer higher risk-adjusted returns than smart beta The main hurdle for better portfolios is investor behaviour, not a lack of products INTRODUCTION In Buddhist teaching, the primary obstacles that prevent us from ascending to a higher state are ignorance, greed, and anger. This trio of poisons not only