This is a summary of links featured on Quantocracy on Wednesday, 11/02/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Optimal trend following allocation under conditions of uncertainty [Investment Idiocy]Few people are brave enough to put their entire net worth into a CTA fund or home grown trend following strategy (my fellow co-host on the TTU podcast, Jerry Parker, being an honorable exception with his 'Trend following plus nothing' portfolio allocation strategy). Most people have considerably less than 100% – and I include myself firmly in that category. And it's probably true
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How to Replicate Any Portfolio [Quantpedia]Would you like to see the performance of your portfolio 100 years back in history? Do you want to analyze the risk of your strategy under 100 years of real historical scenarios? All of these, and much more, will be soon (in a few days) available for Quantpedia Pro subscribers. How? We will explain today how we can model a 100-year history of your portfolio. Replicating Portfolios with Factors When
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Momentum literature: an analysis of 30 years [Alpha Architect]n this article, the author examines the research published over the last 30 years on momentum and its theoretical credibility. One of the original momentum articles was published by Jegadeesh and Titman in 1993, and is considered the seminal work on the topic. The research review contained in this publication begins with the 1993 work and confines itself to only the highest quality journals among