This is a summary of links featured on Quantocracy on Monday, 01/27/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Blending Buy & Hold with Tactical, A “Lethargic” Approach to Asset Allocation [Allocate Smartly]This is a test of a new paper from Dr. Wouter Keller titled Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA). This is primarily a buy & hold strategy thats roughly based on the classic Permanent Portfolio, but it includes an element of tactical asset allocation. This blending of buy & hold with tactical can be less stressful to trade, especially for
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Understanding Pointwise Mutual Information [Eran Raviv]The term mutual information is drawn from the field of information theory. Information theory is busy with the quantification of information. For example, a central concept in this field is entropy, which we have discussed before. If you google the term mutual information you will land at some page which if you understand it, there would probably be no need for you to google it in the first
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Fighting U.S. FOMO [Flirting with Models]U.S. equities have out-performed international equities for 8 of the past 10 years, but this trend has tended to flip-flop historically and persist for multi-year stretches. Home country bias is a real phenomenon that investors have to deal with, especially during these streaks where U.S. equities are favored. Balancing broad market expectations with the tendency to have a behavioral tie to home
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Liquidity and Factor Performance [Factor Research]Most institutional investors can only trade the largest, most liquid stocks Introducing minimum liquidity requirements impacts factors differently Factor portfolio construction with liquidity constraints is especially challenging in small stock markets INTRODUCTION Index funds have breached $11 trillion assets under management in late 2019 to the detriment of active managers according to data from