This is a summary of links featured on Quantocracy on Thursday, 09/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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VIX and Trend-Following, the Killer Combo? [Alpha Architect]Some things in life are naturally made for each other. Some examples include the following: Peanut Butter and Jelly Starsky & Hutch Value and Momentum So my ears perked up when the idea of combining VIX levels and Trend Following started making the rounds on finance twitter. Like any geek, I was eager to start testing the idea, knowing ahead of time that there is a major overfitting hurdle to
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Are Short Out-of-the-Money Put Options Risky? Part 2: Dynamic Case [Relative Value Arbitrage]This post is the continuation of the previous one on the riskiness of OTM vs. ATM short put options and the effect of leverage on the risk measures. In this installment were going to perform similar studies with the only exception that from inception until maturity the short options are dynamically hedged. The simulation methodology and parameters are the same as in the previous study. As a
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Craftsmanship Alpha [Quantpedia]Successful investing requires translating sound investment concepts into actual trading strategies. We study many of the implementation details that portfolio managers need to pay attention to; such choices range from portfolio construction to execution. While these kinds of decisions apply to any type of investment strategy, they are particularly important in the context of style investing.
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What Kind of Asset Is Bitcoin? [CXO Advisory]Does Bitcoin behave like some other asset class? To investigate, we calculate daily and monthly return correlations between Bitcoin and each of 34 exchange-traded products encompassing eight used in Simple Asset Class ETF Momentum Strategy (SACEMS), 24 considered in SACEMS Portfolio-Asset Addition Testing plus SPDR Bloomberg Barclays 1-3 Month T-Bill (BIL) and Powershares DB US Dollar