This is a summary of links featured on Quantocracy on Monday, 11/26/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
- Tactical Statistical Arbitrage [Factor Research]SUMMARY Statistical arbitrage behaves similarly across markets Volatility is the main performance driver Attractive strategy for diversifying an equity portfolio INTRODUCTION Strategies like Value or Momentum are like staples that deserve a permanent allocation in investors portfolios. In contrast, other strategies are more like sunscreen, which is mainly used tactically to minimize the risk of
- A Proxy for the Unobservable Global Market Portfolio [Alpha Architect]What are the Research Questions? The authors propose an estimation of the capital stock that involves all identifiable and measurable financial and nonfinancial assets in the world economy. This portfolio seeks to represent the so-called Global Market Portfolio, that all MBA students learn to know and love when studying the CAPM. (discussion here). As a selection rule, they include assets