This is a summary of links featured on Quantocracy on Wednesday, 10/25/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Part 10 quant_rv: getting somewhere now, by adding normalized ATR [Babbage9010]TL;DR ~ This post explores adding a normalized Average True Range (nATR) measure that behaves in a similar fashion to other volatility measures, including a low volatile anomaly and nATR gives quant_rv a nice boost in backtesting performance. Not all goals for quant_rv are met yet, but were definitely seeing improvements. So, Im getting nearer to a solution for all the quant_rv goals.
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Demystifying Equity Market Neutral Investing [Simplify]The 60/40 portfolio, the bread-and-butter portfolio of todays wealth management industry, is limited to just two core drivers of returns: equities and bonds. Is there someplace else we can turn to for a compelling yet distinct source of returns? Yes, there are several places to look in fact, one of the most interesting being Equity Market Neutral (EMN) investing. EMN strategies can not only