This is a summary of links featured on Quantocracy on Sunday, 11/13/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Simple Approach to Market-Timing Strategy Replication [Quantpedia]In previous articles, we discussed the ideas behind portfolio replication with market factors and presented Quantpedias approach to Multi-Factor Regression. Additionally, we examined the methods of market factor data extension used in construction of our historic factor universe we utilize to mimic portfolios during the past century (Extending Historical Daily Bond Data to 100 Years, Extending
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Top 7 blogs on Sentiment Trading | 2022 [Quant Insti]The intelligent investor is a realist who sells to optimists and buys from pessimists. – Benjamin Graham Sentiment Trading strategies work on market sentiment and the trends around them. The strategies are often determined by the price and value of an asset that may fluctuate. Market sentiments influence the behavior of investors for a specific asset or financial market. It is the emotional
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Macro factors of the risk-parity trade [SR SV]Risk-parity positioning in equity and (fixed income) duration has been a popular and successful investment strategy in past decades. However, part of that success is owed to a supportive macro environment, with accommodative refinancing conditions and slow, disinflationary, or even deflationary economies. Financial and economic shocks, as opposed to inflation shocks, dominated markets, leading to