This is a summary of links featured on Quantocracy on Monday, 10/14/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Yield Curve Trades with Trend and Momentum [Flirting with Models]Yield curve changes over time can be decomposed into Level, Slope, and Curvature changes, and these changes can be used to construct portfolios. Market shocks, monetary policy, and preferences of different segments of investors (e,g. pensions) may create trends within these portfolios that can be exploited with absolute and relative momentum. In this commentary, we investigate these two factors in
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17 Self-Help Books for Quant Investors [Two Centuries Investments]Took a look at my book shelf this morning and decided to share some of my non-finance books that help me grow as a quant investor. Its an eclectic list, not in the order of importance. A More Beautiful Question by Warren Berger Rework by Jason Fried and David Heinemeier Hansson Measure What Matters by John Doerr The Business of Creativity by Keith Granet Alchemy by
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A Columbus Day Edge Revisited [Quantifiable Edges]While the stock market is open on Monday, banks, schools, government offices, and the bond market are closed. In past years with the bond market closed, the stock market has done quite well on Columbus Day. Of course the most famous Columbus Day rally was in 2008 when the market gained over 11% after having crashed the week before. A few times here on the blog (most recently 10/12/15) I showed
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AI, What Have You Done For Me Lately? [Factor Research]AI-focused companies have underperformed markets AI-powered ETFs have generated unimpressive returns In contrast, AI-powered hedge funds easily beat their benchmark, but the performance can be challenged INVESTING IN AI VERSUS AI INVESTING AI will probably most likely lead to the end of the world, but in the meantime, therell be great companies. Sam Altman If investors are looking for