This is a summary of links featured on Quantocracy on Saturday, 11/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mr Greedy and the Tale of the Minimum Tracking Error Variance – Part two [Investment Idiocy]My last blog post was about a new method for a daily dynamic optimisation of portfolios with limited capital, to allow them to trade large numbers of instruments. (Although I normally write my blog posts to be self contained, you'll definitely have to read the previous one for this to make any sense!) Subsequent to writing that post I implemented the method, and quickly ran into some
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Community Alpha of @QuantConnect Part 4 [Quantpedia]This blog post is the continuation (and finale) of series about Quantconnects AlphaMarket strategies. This part is related to the multi-factor strategies notoriously known from the majority of asset classes. We continue in the examination of factor strategies built on top of social trading strategies, but the investment universe is reduced based on the insights of the last part. So, without
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Another Look At Thanksgiving Week [Quantifiable Edges]The time around Thanksgiving has shown some strong tendencies both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday of Thanksgiving week. The top row is the Monday after Thanksgiving. SPX performance during Thanksgiving week Monday
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Chasing Low Beta Loses Alpha [Alpha Architect]One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. Over the last 50 years, the most defensive (low-volatility or low-beta, low-risk) stocks have delivered both