This is a summary of links featured on Quantocracy on Tuesday, 12/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Skis and Bikes: The Untold Story of Diversification with Risk Parity [Invest Resolve]In most parts of Canada we have very distinct seasons. Some months of the year are temperate and relatively dry, while other months are cold and snowy. As a result, most Canadian towns of any size have stores that sell skis and bikes. Of course, they dont inventory both skis and bikes at the same time. Rather, in the spring they sell off all their ski related inventory and set out their bike
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Portable Beta: Making the Most of the Returns You’re Already Getting [Flirting with Models]Traditionally, investors have used a balance between stocks and bonds to govern their asset allocation. Expanding this palette to include other asset classes can allow them to potentially both enhance return and reduce risk, benefiting from diversification. Modern portfolio theory tells us, however, that the truly optimal choice is to apply leverage to the most risk-efficient portfolio. In a low
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Why The SPX Reversal May Be A Positive For The Bulls [Quantifiable Edges]Before spending much Monday selling off, the SPX managed to make a new intraday all-time high. The new high followed by a poor and downward close triggered the study below, from the Quantifinder. Results are all updated. 2017-12-05 Results here seem to suggest an upside edge over the next 1-2 weeks. Though the reversal may have felt frustrating to bulls at the time, it does not appear to be
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Equity Market is Efficient – But on a Long Term [Quantpedia]We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Blacks intuition that prices tend to be off roughly by a factor of 2, and take years to equilibrate. The story behind these results fits well with the existence of two types of behaviour in financial markets: chartists, who act as trend
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Diverisification is Not Always a Free Lunch [Alpha Architect]Shawn McKay, Robert Shapiro, Ric Thomas A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the research questions? Diversification is often thought of as the only free lunch in finance and it is a primary duty for fiduciaries, as codified in the Uniform Prudent Investor Act. The Act is