This is a summary of links featured on Quantocracy on Friday, 11/25/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Creating a CTA from Scratch – II [Finominal]CTAs pursue trends across asset classes, regardless if long or short 2022 is exceptional as CTAs have more short positions than during the GFC No single long bond index position remains, fixed income is one big short INTRODUCTION In our last research article (read Creating a CTA from Scratch I) we demonstrated that building a CTA strategy is not particularly difficult. All it takes is a broad
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Option Momentum: does it work? [Alpha Architect]Several studies show momentum works in global equities, corporate bonds, currencies, and commodities. This paper asks the following research question: Does momentum work within option markets? What are the Academic Insights? By focusing on the returns of delta-neutral straddles (from 1996 to 2019) on individual equities to form a strategy whose returns are approximately invariant to the
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Why bother with unbiasedness? [Quant Dare]For every quantity to be estimated (estimand), theres a plethora of ways to estimate it (estimators). This raises the question of what properties we should be looking for so as to make a sensible choice. Often highlighted as one of such properties is unbiasedness, which we will discuss below with a particular focus on its shortcomings. Introducing unbiasedness In estimation, we want to obtain