Quantocracy’s Daily Wrap for 04/08/2019

This is a summary of links featured on Quantocracy on Monday, 04/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The First Risk and Opportunity in Active Investing [Two Centuries Investments]

    What is the most significant risk in quant (and all active) investing today? The First Moment (the mean) The Second Moment (under-estimating tracking error) The Third Moment (skewness, left tails, crash risk) Mis-specified risk model (hidden factor biases, factors eating alphas) Sub-optimal portfolio construction methodology (error maximization) Higher than expected transaction costs
  • Compound Your Knowledge Episode 7: Momentum & Short Sellers [Alpha Architect]

    In todays video, we examine three articles from last week. The first article, written by Larry Swedroe, examines the Momentum of News. The second article, written by Wes, examines an out-of-sample test on Momentum by looking at Russian stocks in the 19th century. The third article, written by Tommi, examines the impacts that short sellers have within marketsare they manipulative or do they
  • Revisiting The Weird Portfolio [Flirting with Models]

    A few years ago, we blindly applied mean-variance optimization to a set of capital market assumptions, and The Weird Portfolio was born. This portfolio is weird because it does not look like typical investor portfolios since it tilts heavily toward credit-based and alternative asset classes. Despite having weird allocations, the portfolio actually performed in line with the iShares Core Moderate
  • Multi-Factor Smart Beta ETFs [Factor Research]

    Investors have leaned towards multi-factor over single-factor products in recent years The factor selection and portfolio construction of multi-factor ETFs can be challenged Multi-factor ETFs often feature factors, such as growth, which are not supported by academic research while lacking exposure to established ones such as quality and momentum INTRODUCTION Investors showed a strong preference

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