This is a summary of links featured on Quantocracy on Friday, 12/11/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Active vs Passive: Smart Factors, Market Portfolio or Both? [Quantpedia]We would like to present our newest own-research about factor allocation and passive versus active strategies clash. However, respecting our blog format, this version is largely shortened and we invite you to read the full version. Introduction In the equity market, there are two types of investing: active and passive. The aim of passive investors is to track the market with all the ups and
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Using Probability Cones to Test for Strategy Death [Alvarez Quant Trading]The most common question I get is how do you determine that a strategy is no longer working. It is also the question that I dont have a good answer for. I have written several posts about this: Trading the Equity Curve, How to turn off a strategy using historical volatility, Broken Strategy or Market Change. During his How to detect a failing trading strategy presentation, Kevin Davey discusses
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Buying Quality: Is the Juice Worth the Squeeze? [Alpha Architect]Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at negative real yields. In todays world, bonds may have largely lost their income-generating purpsose, although they still constitute a large proportion of investors portfolios. What is