This is a summary of links recently featured on Quantocracy as of Thursday, 01/09/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Piard’s Annual Seasonality [Allocate Smartly]This is a test of two stock market seasonality strategies from Fred Piards book Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors. Strategy results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 90+ asset allocation strategies like this one in near real-time. Logarithmically-scaled.
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Drawdown Implied Correlations Part 2: Generalized Downside Implied Correlations [CSS Analytics]In the previous post I introduced a Drawdown Implied Correlation (DIC) that is a joint time-series measurement which converts maximum drawdowns into a correlation coefficient using a simple formula derived from portfolio math. The DIC had some unique features such as a point-in-time reference to the exact point of maximum drawdown, and a triple reference which averages the calculation
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CAPM, WACC, and Beyond: Beta s Application in Arbitrage [Relative Value Arbitrage]Beta is a measure of an assets sensitivity to market movements, indicating how much its price is expected to change in relation to the overall market. Beta is often used in CAPM and the calculation of WACC. However, it can also be applied in trading, specifically in arbitrage. In this post, Ill discuss beta arbitrage. Beta Arbitrage Around Macroeconomic Announcements The macroeconomic
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Do less liquid assets trend better or is that they are just more diversified? [Investment Idiocy]As most of you know, one of the many projects / things I am involved with is the TTU Systematic Investor podcast series where I'm one of the rotating cast of co-hosts. On a recent episode (at 24:05) we discussed the reasons why 'alt' CTAs tend to do better than traditional CTAs. Examples of alt-CTAs mentioned in that segment are the Man-AHL Evolution fund which I was heavily
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Stocks aren t always the best in the long-run [Alpha Architect]By examining data going back to 1792, McQuarries study comes up with a surprising observation : stocks are not as dominant as once thought. The variability of the performance of stocks vs. bonds across various time periods is dramatic. So buckle up, stocks do not invariably outperform bonds. Stocks for the long run, sometime yes, sometimes no Edward F. McQuarrie Financial Analysts Journal A