This is a summary of links featured on Quantocracy on Friday, 02/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Smart Money Indicator: A New Risk Management Tool [Alpha Architect]We have all heard the mantra, You cant time the market! But in reality, investors attempt to do just that every day as part of their tactical asset allocation strategies, which are less extreme variants of the classic trend-following risk-on/risk-off approach, which many associate with market timing.(1) Moreover, numerous studies have shown that institutional investors routinely
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Portfolio weightlifting (II) [Quant Dare]In a previous post, we took a look at the computation of a portfolios exposure to its allocations. Then, to show the effects of active management, we compared the return made by two portfolios. But there is so much more to look inside the financial time series. Since we left a couple of cliffhangers, lets jump into them now. Risk metrics First of all, lets begin with those hidden dangers