This is a summary of links featured on Quantocracy on Tuesday, 10/16/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Generation AI – The New Data-Driven Investor: Event takeaways, slides & videos [Raven Pack]Close to 1,000 finance professionals registered to attend the event, an increase of nearly 50% from last years event. Surely, artificial intelligence and big data continues to grab the attention of the investment industry. The event took place on September 12, 2018 at the Convene Center by Times Square in Midtown, New York. In case you weren't able to attend and listen to the valuable
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What is the correct benchmark for trend following? [Alpha Architect]What is the correct benchmark for trend following? This is a difficult question, and there really is no perfect answer. As many of our readers know, we are fans of trend following and trend-followed portfolios. For those unfamiliar with trend following, the idea is rather simpleinvest in an asset class if the price/return to that asset class is trending up. If not, go to cash or hedge
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Extended Backtest of Global Equities Momentum [Dual Momentum]In 2013, I created my Global Equities Momentum (GEM) model that applied dual momentum to stock and bond indices. We hold U.S. or non-U.S. stock indices when stocks are strong. Bonds are a safe harbor when stocks are weak. When my book was published in 2014, I had Barclays bond index data back to 1973. Since one year of data is needed to initialize the model, GEM results were from 1974 through