This is a summary of links featured on Quantocracy on Monday, 10/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Kernel of error [OSM]In our last post, we looked at a rolling average of pairwise correlations for the constituents of XLI, an ETF that tracks the industrials sector of the S&P 500. We found that spikes in the three-month average coincided with declines in the underlying index. There was some graphical evidence of a correlation between the three-month average and forward three-month returns. However, a linear
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Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold? [Alpha Architect]The popularity of using volatility to inform portfolio strategies has grown as the research tying volatility-managed techniques and improved risk/return portfolio performance has proliferated in the literature. The portfolios examined in the empirical literature generally utilize conservative positions in underlying factors (market, momentum, betting-against-beta, financial distress, size, and so