This is a summary of links featured on Quantocracy on Monday, 10/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
When Simplicity Met Fragility [Flirting with Models]Research suggests that simple heuristics are often far more robust than more complicated, theoretically optimal solutions. Taken too far, we believe simplicity can actually introduce significant fragility into an investment process. Using trend equity as an example, we demonstrate how using only a single signal to drive portfolio allocations can make a portfolio highly sensitive to the impact of
The Dark Side of Low-Volatility Stocks [Factor Research]This research note was originally published by the CFA Institutes Enterprising Investor blog. Here is the link. SUMMARY Low-volatility stocks have outperformed the market over the last 25 years The strategy has reduced equity drawdowns in the US, Europe, and Japan significantly However, low-volatility stocks have partially been bond-proxies, which poses risk when rates rise MARKETING INGENUITY