This is a summary of links featured on Quantocracy on Tuesday, 01/09/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Choi’s Dividend & Growth Allocation [Allocate Smartly]This is a test of Paul Chois paper Balance Between Growth and Dividend: Dividend & Growth Allocation (DGA). This strategy would have delivered exceptional performance over the last 50 years, but we would temper future expectations for several reasons we discuss below. Backtested results from 1974 follow. Results are net of transaction costs see backtest assumptions. Learn about what we
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Sparse Index Tracking: Limiting the Number of Assets in an Index Tracking Portfolio [Portfolio Optimizer]In the previous post, I introduced the index tracking problem1, which consists in finding a portfolio that tracks as closely as possible2 a given financial market index. Because such a portfolio might contain any number of assets, with for example an S&P 500 tracking portfolio possibly containing ~500 stocks, it is [sometimes desirable] that the tracking portfolio consists of a small number of
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Defensive factor strategy – how do you build one? [Alpha Architect]Is there a defensive equity factor? Can one be built? Although it seems like an easy question, the answer is not straightforward. The authors of this piece argue for a careful assessment of factor strategies to deliver a defensive profile convincing enough to attract investors. A defensive return-to-risk posture may or may not be achieved by obvious candidates like quality, low volatility, or
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Duration of U.S. Equities [Finominal]Sectors and factors were not very sensitive to changes in interest rates on average However, the averages are misleading as the sensitivity varies significantly over time The duration of factors was more dispersed than that of sectors INTRODUCTION If equity investors are from Mars, then fixed-income investors are from Venus. Despite nearly all investors holding various combinations of stocks and