This is a summary of links featured on Quantocracy on Tuesday, 04/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
- Tail risk of systematic investment strategies and risk-premia alpha [Artur Sepp]Everyone knows that the risk profile of systematic strategies can change considerably when equity markets turn down and volatilities spike. For an example, a smooth profile of a short volatility delta-hedged strategy in normal regimes becomes highly volatile and correlated to equity markets in stressed regimes. Is there a way to systematically measure the tail risk of investment products including
- S&P500 – when to be invested [Philipp Kahler]S&P500 when to be invested The stock market shows some astonishingly stable date based patterns. Using a performance heat map of the S&P500 index, these patterns are easily found. Date based performance The chart below shows the profit factor of a long only strategy investing in the S&P500. Green is good, red is bad. The strategy is strictly date based. It always buys and sells on
- A Remarkable New Factor: The Cash Conversion Cycle [Alpha Architect]The barrier to entry into the factor zoo has increased exponentially. Prof. Harvey (now working with RAFI) made this clear at the 2017 AFA address, when he highlighted the issue with data-mining in front of a room full of academics from top-flight research programs in the country. Prof. Harvey and his colleague Yan Liu go a bit further in their recent working paper, stating the following: The rate
- Equity Factor Census [CXO Advisory]Should investors trust academic equity factor research? In their February 2019 paper entitled A Census of the Factor Zoo, Campbell Harvey and Yan Liu announce a comprehensive database of hundreds of equity factors from top academic journals and working papers through January 2019, including a link to citation and download information. They distinguish among six types of common factors and