This is a summary of links featured on Quantocracy on Friday, 12/11/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Research Review | 11 2015 Dec | Portfolio Management [Capital Spectator]Buffetts Asset Allocation Advice: Take it With a Twist Javier Estrada October 26, 2015 One of the most important decisions retirees need to make is the asset allocation of their portfolios. They can have a static or a dynamic allocation, and simplicity usually favors the former. Warren Buffett recently added another vote for static allocations by revealing that he had advised a trustee to
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December Spikes In The VIX Bring Traders Year-End Gifts [Dana Lyons]Jumps in the VIX during the month of December have (almost) always led to year-end stock market gains. It is the time of year when research houses trot out all matters of bullish seasonal stock market patterns pertaining to year-end. It seems as though each year brings more and more attention, and giddiness, to the idea of a year-end rally (though, that is likely due to the greater reach of
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International Evidence for The Acquirer’s Multiple Investment Strategy [Greenbackd]A new paper from Christian Walkshusl and Sebastian Lobe* called The Enterprise Multiple Investment Strategy: International Evidence examines the performance of the enterprise multiple (EV/EBITDA) in international markets, including Australia, Canada, France, Germany, hong Kong, Japan, Singapore, Sweden, Switzerland and the UK. The paper, published in the Journal of Financial and Quantitative
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The Volatility Anomaly Uncovered [Larry Swedroe]Recent academic papers have shown that low-volatility stocks have provided better returns than higher volatility stocks. Whats more, this is a global phenomenon. These findings, however, run counter to economic theory, which predicts that higher expected risk should be compensated with greater expected returns, resulting in the low volatility anomaly. Of interest is that this finding holds true
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An Analysis of Expected Returns of Trend-Following Strategies [Quantpedia]This paper describes how to create ex-ante expectation for generalized trend-following rules. This report first study the effect of trend-following rules applied to random data with varying degrees of drift and autocorrelation. There is a positive relationship between drift, autocorrelation and the theoretically extractable Sharpe ratio for a trend following strategy. Drift is more important,