This is a summary of links featured on Quantocracy on Tuesday, 01/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Financial Mentor’s Optimum3 Strategy [Allocate Smartly]This is an independent test of Optimum3, a tactical asset allocation strategy from Todd Tresidder of FinancialMentor.com. Optimum3 starts as a momentum strategy similar to many of the TAA strategies we track. It combines that with a unique approach to portfolio optimization to enforce a degree of high momentum diversification. Backtested results from 1987 follow. Results are net of
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Analyzing stock data near events with pandas [Wrighters.io]Stock returns can be heavily impacted by certain events. Sometimes these events are unexpected or a surprise (natural disasters, global pandemics, terrorism) and other times they are scheduled (presidential elections, earnings announcements, financial data releases). We can use pandas to obtain financial data and see the impacts of events the returns of stocks. In my earlier article on financial
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Lottery Effect in ETFs Across Several Asset Classes [Quantpedia]Indisputably, we are witnesses of an ETF mega boom. From passive to active ETFs, their numbers seem to be ever-increasing. Since these exchange-traded funds can be excellent (accessible, transparent, liquid) instruments, it is a great necessity to examine their possible usage in active and systematic trading or investing. Therefore, the short research critically assesses the possibility of using
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Analyzing Floating Rate ETFs [Factor Research]Floating rate ETFs pursue differentiated strategies Some of them are highly correlated to equities, limiting any diversification benefits The correlation with interest rates and inflation has been low INTRODUCTION Despite the consensus on high inflation being transitory in 2021, the five-year, five-year forward inflation expectation rate in the US remains stubbornly above 2%. Investors that hoped