This is a summary of links featured on Quantocracy on Wednesday, 01/25/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Keuning & Keller’s Generalized Protective Momentum [Allocate Smartly]This is a test of the Generalized Protective Momentum (GPM) strategy from JW Keuning and Wouter Keller. The strategy builds off of the authors popular Protective Asset Allocation (PAA) model that we discussed last month. Results for the GPM strategy from 1989, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.
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Analyzing Portfolios With Risk-Factor Profiles [Capital Spectator]Most investment portfolios are a collection of risk factors, such as exposure to credit and equity risk. Monitoring and managing these factors is critical. The standard approach is reviewing portfolios through a plain-vanilla asset allocation lens 60% stocks, 30% bonds, 10% cash, for instance. But the standard methodology is a blunt instrument. For a clearer view of whats driving your