This is a summary of links featured on Quantocracy on Monday, 10/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Death, Taxes, and Mean-Reversion? [Factor Research]SUMMARY Mean-reversion has not performed well over the last few years Highly sensitive to model assumptions The strategy is an attractive addition for an equity-centric portfolio INTRODUCTION According to Benjamin Franklin death and taxes are the only two certainties in life. In finance, where much is uncertain, especially the future, mean-reversion might be considered a certainty. Mean-reversion
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Problems in the Optimization of Swing Portfolios [QUSMA]Assume you have a bunch of different systems that trade stocks, equity index ETFs, bond ETFs, and some other alternative assets, eg commodity ETFs. All the systems take both long and short positions. What are the questions your portfolio optimization approach must answer? This is a post focused on high-level conceptual issues rather than implementation details. Do I want market factor exposure? By
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Tactical, But When? [Flirting with Models]Were often asked, is now a good time to implement tactical strategies? We believe there are better and worse periods for tactical, largely based upon expected risk/reward trade-offs and available diversification opportunities. For investors, we believe an equally important consideration is where they are in their investment lifecycle trajectory. For investors with longer horizons, the
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Academic Research Insight: Does Social Capital payoff during times of crisis in the markets? [Alpha Architect]Title: Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis Authors: Karl V. Lins, Henri Servaes, and Ane Tamayo Publication: The Journal of Finance, Vol. LXXII, No. 4, August 2017 The present financial crisis springs from a catastrophic collapse in confidence. . . Financial markets hinge on trust, and that trust has eroded.