This is a summary of links featured on Quantocracy on Friday, 10/08/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Three Simple Tactical FX Hedging Strategies [Quantpedia]There are many ways one can lose money when investing, and exchange rates are one of the potential risk factors. Luckily, there are several ways to minimize this type of loss in your portfolio. Systematic tactical FX hedging that uses currency factor strategies (for example currency carry, currency momentum and currency value) is a way of protecting an existing or anticipated position from an
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Research Review | 8 October 2021 | Dynamic Portfolio Strategies [Capital Spectator]Time-Varying Factor Allocation Stefan Vincenz and Tom Oskar Karl Zeissler (Vienna U. of Economics and Business) September 15, 2021 In this empirical study, we provide evidence on how predictive information can be utilized to profitably allocate a cross-asset factor portfolio, covering various well-known factors over the asset classes equity, commodity, fixed income, and foreign exchange. We
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ETF Liquidity Risks? A Discussion [Alpha Architect]Because of the complexity inherent to ETF trading in the secondary market, there are frequent misunderstandings about the relationship between the liquidity of the underlying securities and the liquidity of ETFs. Sometimes we hear that ETFs have excess liquidity to the underlying and at others, ETFs will have liquidity concerns. To get a better grasp on this relationship, well hit on the basics