This is a summary of links featured on Quantocracy on Sunday, 11/20/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-Following Rules in Two-State Regime-Switching Models [Alpha Architect]Academic research on trend-following investing has almost exclusively been focused on testing the profitability of various trading rules. Most of these rules are based on moving averages of past prices. The most popular is the Simple Moving Average (SMA). Less commonly used types of moving averages are the Linear Moving Average (LMA) and Exponential Moving Average (EMA). Each moving average is
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Active manager bias is it the same as for individual investors? [Alpha Architect]The empirical research on the ability of actively managed funds, including such studies as the 2002 paper Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses by Russ Wermers, has found that they do have the ability to identify stocks that go on to outperform appropriate benchmarksthey are skilled. But are active managers