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TonyC
Nuclear Energy Trader

Total Posts: 1352
Joined: May 2004
 
Posted: 2020-10-23 09:04
I've tried the usual hubs, but they don't seem to have anything for JPM more recent than December of 2019 (or maybe they do and I just can't read Cyrillic)

So I'd be grateful if somebody could pass the following along to me:

Is Smart Beta Still Smart under the Lens of the Diversification Return?

Wenguang Lin and Gary C. Sanger

The Journal of Portfolio Management November 2020, jpm.2020.1.180; DOI: https://doi.org/10.3905/jpm.2020.1.180

flaneur/boulevardier/remittance man/energy trader

gmetric_Flow


Total Posts: 43
Joined: Oct 2016
 
Posted: 2020-10-23 12:58
@TonyC, Here you go sir Attached File: smart_beta.pdf

TonyC
Nuclear Energy Trader

Total Posts: 1352
Joined: May 2004
 
Posted: 2020-10-23 17:57
Thank you sir, as Sir Paul McCartney said in band on the run, "if we ever get out of here" , I will have to buy you several drinks (although not quite as nice a drink as these folks, whom Fortune smiled upon)
https://nypost.com/2020/10/23/couple-mistakenly-served-2000-wine-at-nyc-restaurant/?utm_campaign=iphone_nyp&utm_source=message_app

flaneur/boulevardier/remittance man/energy trader

gmetric_Flow


Total Posts: 43
Joined: Oct 2016
 
Posted: 2020-10-23 19:22
Anytime! Keeping within the same verse, "All I need is a pint a day". Unfortunately, it doesn't look like we're getting out too soon.

The best part of the article: "... had been ordered by four Wall Street businessmen who apparently didn’t notice the error".

TonyC
Nuclear Energy Trader

Total Posts: 1352
Joined: May 2004
 
Posted: 2020-10-26 07:03
The lesson to learn is, "always get the wine decanted at the table"

flaneur/boulevardier/remittance man/energy trader

eye51


Total Posts: 212
Joined: Oct 2004
 
Posted: 2020-10-26 15:33
@TonyC & @gmetric flow, thanks for the nice ref and the paper!

I had not seen this one myself..

@TonyC; moved from energy to equity?

Peace means reloading your guns

TonyC
Nuclear Energy Trader

Total Posts: 1352
Joined: May 2004
 
Posted: 2020-10-29 03:33
> @TonyC; moved from energy to equity?
Sort of semi-retired, which means I work twice as hard to earn half as much

But I wanted the paper just for the technique of separating out factors from diversification return, not necessarily on equities, there are commodity indices too

. F'rinstance it might be interesting to know if your typical multicommodity "2 factor double sort contango/backwardation combined with time series momentum" was a return that was actually associated with shorting the contango going long the backwardation and simultaneously following the trend? Or is it just associated with the diversification across commodities?

flaneur/boulevardier/remittance man/energy trader

eye51


Total Posts: 212
Joined: Oct 2004
 
Posted: 2020-10-30 12:43
Interesting. I will keep an eye on the refs you come up with :) .. because they seem to be also very interesting to me

regards,
Bastiaan

Peace means reloading your guns

zee4


Total Posts: 79
Joined: May 2010
 
Posted: 2020-11-11 20:35
It's embarrassing, but I cannot seem to find PDF of this:

Peter Carr and Keith Lewis. Corridor variance swaps. Risk, 17(2):67–72, 2004

Anybody?

Бухарский

bullero


Total Posts: 75
Joined: Feb 2018
 
Posted: 2020-11-13 13:31
This might be difficult to source, but let's give it a go:

Simulation of a Limit Order Driven Market by Julian Lorenz and Joerg Osterrieder

Not available for download in SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2984309

Anybody?

pj


Total Posts: 3557
Joined: Jun 2004
 
Posted: 2020-11-13 13:36
Check your email

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

bullero


Total Posts: 75
Joined: Feb 2018
 
Posted: 2020-11-13 13:55
@pj, wow that was fast

Strange


Total Posts: 1670
Joined: Jun 2004
 
Posted: 2020-11-15 15:39
does someone has access to this paper, I'll owe you a beer!

VIX term structure and VIX futures pricing with realized volatility
by Zhuo Huang, Chen Tong, Tianyi Wang,
The Journal of Futures Markets
Volume 39, Issue 1
January 2019
Pages 72-93

'Progress just means bad things happen faster.’

pj


Total Posts: 3557
Joined: Jun 2004
 
Posted: 2020-11-15 17:55
check your email

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

Strange


Total Posts: 1670
Joined: Jun 2004
 
Posted: 2020-11-16 00:30
thank you!

'Progress just means bad things happen faster.’
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