This is a summary of links featured on Quantocracy on Monday, 12/23/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Timing Trend Model Specification with Momentum [Flirting with Models]Over the last several years, we have written several research notes demonstrating the potential benefits of diversifying specification risk. Specification risk occurs when an investment strategy is overly sensitive to the outcome of a single investment process or parameter choice. Adopting an ensemble approach is akin to creating a virtual fund-of-funds of stylistically similar managers,
Gregory Zuckerman: The Man Who Solved the Man Who Solved the Market [Invest Resolve]For the quant community, it was arguably the most awaited book of 2019. Finally a peek behind the curtains into the most successful hedge fund manager in history. The +66% average (gross) returns that Jim Simons and his army of data scientists produced over the last 17 years in their Medallion fund captured the imagination of investors across the globe and their obsessive secrecy just added to the
Research Compendium 2019 [Factor Research]In 2019 we published more than 50 research notes on mostly factor investing and smart beta ETFs, but also on topics like ESG, activist investors, hedge fund replication, and artificial intelligence. The Research Compendium 2019 contains all of our research published this year. We would like to thank you for reading and always appreciate feedback, especially if critical. Download Research