This is a summary of links recently featured on Quantocracy as of Monday, 12/23/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Drawdown Implied Correlations (Part 1) [CSS Analytics]Diversification is a concept that is critical to most asset managers and traders. The foundation of this body of research is built upon the Pearson correlation coefficient, which is the most popular metric to determine whether adding an asset to a portfolio might enhance diversification. Despite its widespread use, most investment practitioners recognize its limitations. Some of the flawed
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Intangibles and the Performance of the Value Factor [Alpha Architect]Systematic factor-driven value strategies have underperformed broad market indices (such as the S&P 500) over the past 15+ years. That has led many to question whether intangible assets, such as patents and proprietary software, are properly treated. Current accounting standards, which require companies to expenserather than capitalizetheir outlays on activities that create intangible
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Front Running Commodity Seasonality [Allocate Smartly]This is an independent test of a series of interesting studies from Quantpedia (here and here) related to seasonality in commodity ETFs. Weve more than doubled the length of the authors original test using relevant index data (1). Test #1: Front running commodity seasonality In all of our tests, we will be trading the same 4 commodity ETFs chosen by the author: DBA: Agriculture DBB:
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Front-Running Seasonality in US Stock Sectors [Quantpedia]Seasonality plays a significant role in financial markets and has become an essential concept for both practitioners and researchers. This phenomenon is particularly prominent in commodities, where natural cycles like weather or harvest periods directly affect supply and demand, leading to predictable price movements. However, seasonality also plays a role in equity markets, influencing stock