This is a summary of links featured on Quantocracy on Friday, 01/13/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
A Caveat On Backtesting Caveats [Capital Spectator]Ben Carlson at Ritholtz Asset Management reminds us that backtesting offers no shortcuts to investment nirvana. As he correctly points out, there are numerous shortcomings in the art/science of reconstructing the historical results of an investment strategy. But its also true that backtesting, if used wisely, can be a powerful tool for sensibly managing expectations with regards to return and
A Decade of Trend Following [Wisdom Trading]Last year was not a good year for trend following, with many commenting that the performance for the strategy has been declining over the last few years. We decided to look at the performance of the Wisdom State of Trend Following index on a long timeframe, to let the results speak over the long term, rather than focusing on recent performance. Here are the results over the last decade:
It’s 2017: Do You Know Where Your Risk Is? [Flirting with Models]Last weeks commentary highlighted why we believe traditionally built portfolios may face return headwinds going forward. Traditionally built stock/bond allocations also exhibit extremely high risk concentrations. Non-traditional exposures, now available as low-cost ETFs, can help introduce non-standard risk exposures. By combining non-traditional exposures, we can build a portfolio that has a