This is a summary of links featured on Quantocracy on Monday, 12/11/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Managed Futures Rotation [Return Sources]Managed futures / trend following is a valuable strategy to have in a portfolio, but it's also somewhat difficult to hold. The reason is that its positive performance tends to come in bursts, as opposed to steadily over time. This can (and does) lead to frustration as the investment in managed futures stagnates or falls over a period of years. I suspect that this property of trend following
-
The Illusion of the Small-Cap Premium [Finominal]Small-cap investing is intuitively appealing However, small-caps have underperformed in most markets Screening out low-quality small-caps has not helped significantly INTRODUCTION Investing means parting ways with your money, which is not something we tend to do lightly. The easiest way to get comfortable with an investment opportunity is if great performance is accompanied by a great story. The