This is a summary of links featured on Quantocracy on Saturday, 11/23/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pivot Point Strategy [Quant Insti]In this project, we analyze different intraday trading strategies with Pivot Points. After defining different ways of calculating the Pivot Point, we do a Backtest with the most classic strategies and a different variant to those normally taught in textbooks. To learn about Pivot Point and how to use it to predict movement in trade markets, read this blog. This article is the final project
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Research Review | 22 November 2019 | Factor Investing Strategies [Capital Spectator]ETF Momentum Frank Weikai Li (Singapore Management University), et al. October 12, 2019 We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with
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Basic factor investment for bonds [SR SV]Popular factors for government bond investment are carry, momentum, value and defensive. Carry depends on the steepness of the yield curve, which to some extent reflects aversion to risk and volatility. Momentum relates to medium-term directional trends, which in the case of fixed income are often propagated by fundamental economic changes. Value compares
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The Investor’s Podcast: Factor Investing (Jack) [Alpha Architect]Recently I was invited to talk with Stig and Preston on The Investors Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: What is factor investing? Which factors have historically performed the best? Should one use a single factor or multiple factors? How long should the holding period be for a position? Here is a link to their