This is a summary of links featured on Quantocracy on Tuesday, 12/20/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Probabilistic alpha and beta: quantifying an uncertain edge [Artifact Research]In finance, the performance of an asset is often quantified by alpha (the excess returns above a benchmark return) and beta (the volatility or risk of the asset relative to a benchmark). These metrics are estimated from historical data and are often based on only short track records. Even if a long series of historical returns is available for an asset, older data may no longer represent the
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A Balanced Portfolio and Trend-Following During Different Market States [Quantpedia]Whats the performance of a balanced portfolio during rising rates? How does it behave when inflation is high? What about a combination of these market states? And how do trend-following strategies fare in such an environment? These and even more questions we will attempt to resolve in our todays article. We will be looking at different market cycles and how a balanced portfolio and a typical
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Alpha Vantage API Python Tutorial [Analyzing Alpha]This article explains how to call the Alpha Vantage API to retrieve stock market data in a Python application using the Python alpha_vantage library and the Python requests module. The documentation for the Python alpha_vantage client library is limited. It isnt easy to understand the mapping between the Alpha Vantage API endpoints and the Python alpha_vantage library classes and methods. The
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Do Poor YTD Results Mean Late December Rally Will Flop? [Quantifiable Edges]Ive heard people saying recently that the typical 2nd half of December bullish tendency is unlikely to unfold this year. The theories suggest that the market is often up on the year. And people and institutions flush with profits tend to push it higher as the New Year approaches. There is also lots of buying chasing strong market returns heading into year end. But when it is a down year like
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Scale in Active Management – a look at its Diseconomies [Alpha Architect]Pastor, Stambaugh, and Taylor (2015) and Zhu (2018) provide significant evidence of decreasing returns to scale (DRS) at both the fund and industry levels. The authors examine the robustness of their inferences after Adams, Hayunga, and Mansi (2021) critique the above two studies. What are the Academic Insights? The authors find robust evidence of DRS at fund and industry levels. Their evidence