This is a summary of links featured on Quantocracy on Monday, 11/14/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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If you’re so smart, how come you’re not Sam Bankman-Fried? [Investment Idiocy]There has been a very interesting discussion on twitter, relating to some stuff said by Sam Bankman-Fried (SBF), who at the time of writing has just completely vaporized billions of dollars in record time via the medium of his crypto exchange FTX, and provided a useful example to future school children of the meaning of the phrase nominative determinism*. * Sam, Bank Man: Fried. Geddit? Read the
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Impact of Dataset Selection on the Performance of Trading Strategies [Quantpedia]We have previously mentioned that not all models (such as CAPM) that work well for developed markets (DM, such as the U.S. and Europe) are suited to be applicable in other world parts. The following article is a short analysis that shows that investing in Emerging Markets (EM) has its peculiarities. Especially investing in Chinese equities can sometimes be complicated with its mix of mainland
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Creating a CTA from Scratch [Finominal]CTAs have become popular again given their positive returns in 2022 However, they are typically difficult to grasp given their ever-changing portfolios Building a CTA from scratch is not complicated and reduces the opaqueness INTRODUCTION 2022 has been a long year of disappointments for investors. Growth stocks do not go up forever. TIPS do not protect against high inflation. And cryptocurrencies
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Industry and factor momentum: is there a theoretical foundation? [Alpha Architect]This post is the second and final portion of the review on momentum published on Momentum literature. The seminal article on momentum was published by Jegadeesh and Titman in 1993. Although the Jegadeesh article foreshadowed much of the research on cross-sectional and time series momentum at the stock level, it wasnt until the mid-to-late-2000s that investigators turned to study momentum at the