This is a summary of links recently featured on Quantocracy as of Thursday, 12/12/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Day 30: Summing up [OSM]On Day 29, we conducted our out-of-sample test on the four strategies and found that the adjusted strategy came out on top. We made this conclusion after ranking a cross section of the following metrics: cumulative return, Sharpe Ratio, and max drawdown. If we wanted to commit capital, there would be a lot more work to do. But with the bulk of the backtesting over, its time to sum up what we
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Can We Use Active Share Measure as a Predictor? [Quantpedia]Active Share is a metric introduced to quantify the degree to which a portfolio differs from its benchmark index. It is expressed as a percentage, ranging from 0% (fully overlapping with the benchmark) to 100% (completely different). The concept gained popularity because it was believed that higher Active Share reflects truly active management, which could potentially lead to outperformance. If
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From the Pits to the Page: A Conversation with Kris Abdelmessih [Robot Wealth]It was my absolute pleasure to chat with Kris Abdelmessih about markets and life. Kris was an options market maker who started out in the trading pits of New York and later flipped the script to set up the commodity options business for hedge fund Parallax Advisory. Today, Kris writes the Moontower newsletter on Substack one of the most consistently unique and insightful newsletters youll