This is a summary of links featured on Quantocracy on Monday, 10/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Skew and expected returns [Investment Idiocy]Some bloke* once said "The most overlooked characteristic of a strategy is the expected skew of it's returns, i.e. how symmetrical they are" * It was me. "Systematic Trading" page 40 Skew then is an important concept, and one which I find myself thinking about a lot. So I've decided to write a series of posts about skew, of which is the first. In fact I've
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The Case Against Equity Income Funds [Factor Research]Equity income mutual funds have underperformed the S&P 500 since 1988 Especially on a post-tax basis Investors can create tax-efficient equity portfolios, but it does not represent a free lunch INTRODUCTION Warren Buffett is probably the most well-known and well-liked investor, which is easily explained by the immense wealth he achieved through extraordinary investment acumen and his charming
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Risk-Adjusted Momentum: A Momentum and Low-Volatility Barbell? [Flirting with Models]After the Great Financial Crisis, the Momentum factor has exhibited positive returns, but those returns have been largely driven by the short side of the portfolio. One research note suggests that this is driven by increased risk aversion among investors, using the correlation of high volatility and low momentum baskets as evidence. In contradiction to this point, the iShares Momentum ETF (MTUM)
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Dynamic Asset Allocation Papers [Two Centuries Investments]Most asset allocation approaches are more or less static. From 60/40 to Risk Parity, such allocations can be easily replicated with a couple ETFs, and so the outcomes of static asset allocation portfolios, especially the risks such as drawdowns, are 90%+ pre-determined. There is a strand of academic research that focuses on an alternative approach called Dynamic Asset Allocation. Unlike static