This is a summary of links featured on Quantocracy on Sunday, 12/22/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quant Investing: Volatility Curve Model [Investing For A Living]This post introduces a quant trading model based on volatility. More specifically it uses the prices of volatility futures contracts based on the SP500 to make risk-on and risk-off decisions that can be used to trade various risk-assets. Why Volatility? There is a bunch of research that shows that historical volatility is predictive of future near-term volatility. See here for a good summary of
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Why Did Trend-Following Underperform Last Decade? [Quantpedia]Trend-following funds and strategies were once extremely popular after the 2008/2009 crisis. They offered attractive performance, and diversification properties made them a nice addition to investors portfolios. Ten years later, trend-following strategy is not such a popular word. Strategies didnt blow-up, but their performance was far from spectacular. What are the main reasons for
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Research Review | 20 December 2019 | Value Investing [Capital Spectator]Value Bubbles Messaoud Chibane and Samuel Ouzan (Neoma Business School) February 27, 2019 According to several extended behavioral theories, value profits should mirror momentum profits, and vary over time. We test these theories in the cross section of returns. Value returns depend on market states. From 1926 to 2018, following negative market return, the average so-called value premium is about