This is a summary of links featured on Quantocracy on Tuesday, 11/26/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Adaptive VIX Moving Average [CSS Analytics]One of the challenges with technical or quantitative analysis is to identify strategies that can adapt to different market regimes. The most obvious is a change in the forecast or implied volatility as proxied by the VIX. During more volatile periods we would expect more signal noise and during less volatile periods we would expect less signal noise. But how do we capture this in a strategy? One
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Enterprise Multiples and Equity Country Allocations [Alpha Architect]The use of valuation multiples in selecting equity securities is well established in the literature, and weve covered the research on enterprise multiples here (here is a recent JPM on the topic). However, there are relevant questions as to the effectiveness of multiples when applied to national indexes in the service of country allocation. Contrary to popular opinion, studies show that not
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Are Earnings Forecasts of Sell-side Analysts Biased? [Alpha Architect]There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources of risk. Alternatively, they could be associated with mispricing that arises from systematically biased investor expectations (see here for a discussion on this topic).