Quantocracy’s Daily Wrap for 02/11/2019

This is a summary of links featured on Quantocracy on Monday, 02/11/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Research Symposition – May 23rd, London – Big Data is the New Currency [Raven Pack]

    Cryptocurrencies have been a huge distraction when in fact we should be focusing on the currency of the future – Big Data Join Industry Leaders For almost a decade, RavenPack Symposiums have consistently provided data-driven finance professionals with riveting forward-looking content, new research and insights, and practical use cases from industry leaders and top scholars. This year's
  • Trend: Convexity & Premium [Flirting with Models]

    Trend following is unique among style premia in that it has historically exhibited a convex payoff profile with positive skew. While the historical premium is anomalous, the convexity makes sense when we use options to replicate trend following strategies. We explore reasons why frequent rebalancing in trend following strategies is necessary and decompose the return contributions from different
  • Smart Beta: Broken By Design? [Factor Research]

    SUMMARY Smart beta excess returns are different from factor returns The Low Volatility factor shows the highest discrepancy between theoretical and realized returns Investors might be better served by embracing long-short factor products REALITY DYSFUNCTION Steve Jobss reality distortion field warped Apple employees perception of what was technically possible. Though it led to many
  • Fed Days – How to profit from FOMC Meetings [We Love Algos]

    The US Federal Reserves monetary-policy decisions invariably are closely followed by market participants worldwide since they are of great importance to the development of the capital markets. David O Lucca and Emanuel Moench have examined which patterns occur in the stock market and what these could be attributed to (download The Pre-FOMC Announcement Drift here). Their conclusions:
  • How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons [Alpha Architect]

    What are the research questions? The main purpose of this study was to examine the changes in the distribution of the US equity risk premium as the return horizon varies over the short term, medium and long term (see here for a piece that covers those topics). In this recap, we look at ancillary analysis from the Volatility Lessons paper, with a specific focus on the risk premiums associated

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