This is a summary of links featured on Quantocracy on Sunday, 11/17/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Day 20: Strategy Sample [OSM]On Day 19, we introduced circular block sampling and used it to test the likelihood the 200-day SMA strategy would outperform buy-and-hold over a five year period. We found that the 200-day outperformed buy-and-hold a little over 25% of the time across 1,000 simulations. The frequency of the 200-days Sharpe Ratio exceeding buy-and-hold was about 30%. Today, we apply the same analysis to the
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Rethinking Asset Growth in Asset Pricing Models [Alpha Architect]Measures of asset growth add considerable explanatory power to asset pricing models, but wait, theres a twist. The formulation for measuring asset growth in risk models, such as the 5-Factor Fama-French (FF5F) or the Hou-Xue-Zhang (HXZ), do not necessarily align with traditional measures of firm investment even though they seem to be a good statistical fit. Accordingly, there is one central