This is a summary of links featured on Quantocracy on Tuesday, 01/02/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation in December [Allocate Smartly]Blogging was light in December. We spent the month working on the launch of a new fintech project that many of our readers will be excited about. Well be sharing details in the coming month and getting back to our regular blogging and site development schedule. Allocate Smartly This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies.
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A Null Hypothesis for the New Year [Flirting with Models]In statistics, the null hypothesis is the default statement that you test with data. From this test, you can either reject the null hypothesis in support of an alternative or assert that there is not enough evidence to believe anything other than the null hypothesis with a certain degree of confidence. In an industry driven by speculation and talking heads pushing the next hot investments, an
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Factor Olympics 2017 [Factor Research]2017 was a positive year for most factors Quality, Growth and Momentum showed the strongest performance Value, Dividend Yield and Size generated negative returns INTRODUCTION We present the performance of seven well-known factors on an annual basis for the last 10 years and the full-year 2017. It is worth mentioning that not all factors have strong academic support, e.g. Growth lacks a long-term