This is a summary of links featured on Quantocracy on Thursday, 11/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Deflated Sharpe Ratio (how to avoid been fooled by randomness) [Quant Dare]As we test more and more strategies the overall probability of choosing at least one poor strategy grows. So we must be very careful with how many backtests we run. We should always record all of them, to later deflate the Sharpe Ratio accordingly. In this post, we are going to analyze how the Deflated Sharpe Ratio, exposed by Marcos Lpez de Prado and David H. Bailey in this paper, can help us
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Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models? [Alpha Architect]In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills, published in the September 2020 issue of The Journal of Portfolio Management, David Blitz challenged that choice. He began by noting that the choice of the
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3 Takeaways from Quantopian Shutting Down [Quant Rocket]Quantopian announced that it is shutting down its community platform. This doesnt entirely come as a surprise. Quantopian returned money to investors earlier this year after its investment strategy underperformed. It shut down paper trading in 2019 (having already ended live trading in 2017), then terminated its daily contests in May of this year. Since that time, Quantopian's website has