This is a summary of links featured on Quantocracy on Friday, 10/01/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Mr Greedy and the Tale of the Minimum Tracking Error Variance [Investment Idiocy]This is the sixth (!) post in a (loosely defined) series about finding the best way to trade futures with a relatively small account size. This first (old) post, which wasn't conciously part of a series, uses an 'ugly hack': a non linear rescaling of forecasts such that we only take positions for relatively large forecast size. This is the method I was using for many years. These
-
Value Investing and Intangibles [Alpha Architect]Recent research, including the 2020 studies Explaining the Recent Failure of Value Investing and Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?, have investigated the impact on U.S. value strategies of the increase in the relative importance of intangible assets compared to physical assets. An interesting take on the rise of intangibles is Kai Wus