Quantocracy’s Daily Wrap for 05/26/2017

Quantocracy’s Daily Wrap for 05/26/2017


This is a summary of links featured on Quantocracy on Friday, 05/26/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • March for the Fallen: Get Fit with Alpha Architect [Alpha Architect]

    As a former US Marine, Memorial Day is every day, however, Memorial Day is special because the time is set aside to reflect on those who paid the ultimate sacrifice. Enjoy and stay safe out there! In addition to enjoying the long Memorial Day weekend, we offer a unique opportunity to honor the fallen and hang with good people trying to do good things for society. One such event is March for the
  • Testing the Hierarchical Risk Parity algorithm [QuantStrat TradeR]

    This post will be a modified backtest of the Adaptive Asset Allocation backtest from AllocateSmartly, using the Hierarchical Risk Parity algorithm from last post, because Adam Butler was eager to see my results. On a whole, as Adam Butler had told me he had seen, HRP does not generate outperformance when applied to a small, carefully-constructed, diversified-by-selection universe of asset classes,
  • Research Review | 26 May 2017 | Smart Beta [Capital Spectator]

    How much higher can smart beta adoption climb? Now in its fourth year, FTSE Russells latest annual survey of global institutional asset owners indicates that smart beta adoption is at an all time high and that investors continue to find new applications for its use. The survey, Smart beta: 2017 global survey findings from asset owners, reveals that the percentage of asset owners reporting an
  • An Analysis of Momentum Behaviour in the Long-Term [Quantpedia]

    Motivated by behavioral theories, we test whether recent past performance of the momentum strategy (Past Momentum Performance–PMP) negatively predicts the performance of stale momentum portfolios. Following periods of top-quintile PMP, momentum portfolios exhibit strong reversals 2-5 years after formation, whereas, following periods of bottom-quintile PMP, stale momentum portfolios earn positive

The post Quantocracy’s Daily Wrap for 05/26/2017 appeared first on Quantocracy.


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May 27, 2017 at 06:47AM


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