This is a summary of links recently featured on Quantocracy as of Monday, 04/14/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Annual performance update returneth – year 11 [Investment Idiocy]Mad out there isn't it? Tarrifs on/off/on/partially off/on… USD/SP500/Gold/US10/Bitcoin all yoyoing like crazy. Seems a good moment to be slightly reflective. I skipped my annual performance update last year, a little sad given it was my tenth anniversary. Mainly this is because it had become a lot of work, covering my entire portfolio. The long only stuff is especially hard, as all my
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Quantamental economic surprise indicators: a primer [Macrosynergy]Quantamental economic surprises are point-in-time measures of deviations of economic indicators from expected values. There are two types of surprises: first-print events and pure revisions. First-print events feature new observation periods, and the surprise element depends on market expectations of the indicator. Market surveys can approximate such expectations, but only for a limited number of
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Catastrophe Bonds: Modeling Rare Events and Pricing Risk [Relative Value Arbitrage]A catastrophe (CAT) bond is a debt instrument designed to transfer extreme event risks from insurers to capital market investors. Theyre important for financial institutions, especially insurers and reinsurers, because they offer a way to manage large, low-probability. In this post, I feature research on CAT bonds, how theyre priced, and why they matter more than ever in a world of rising
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Weekly Research Insights [Quant Seeker]In this weeks Research Insights, I cover three interesting papers. The first examines the performance of crypto breakout strategies. The second questions the reliability of the 4% withdrawal rule amid todays market turmoil and inflation concerns, while the third explores how commodity tail risks may help forecast bond returns. Thank you for your continued interest. If you enjoyed the
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Trading the Channel [Financial Hacker]One of the simplest form of trend trading opens positions when the price crosses its moving average, and closes or reverses them when the price crosses back. In the latest TASC issue, Perry Kaufman suggested an alternative. He is using a linear regression line with an upper and lower band for trend trading. Such a band indicator can be used to trigger long or short positions when the price crosses