This is a summary of links featured on Quantocracy on Friday, 02/17/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Introducing Hybrid Asset Allocation (HAA) [TrendXplorer]HAA aims to offer retail investors a tactical asset allocation strategy that is both balanced and aggressive at the same time. HAAs hybrid approach combines traditional dual momentum with canary momentum which results in robust crash protection with low cash-fractions. HAA effectively selects assets only when they are most likely to appreciate. HAAs ability to obtain positive returns
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Major brokerages and news media feature technical analysis [Mathematical Investor]Suppose, in a national TV newscast, instead of citing data, analysis and predictions from major government agencies, the weatherperson displayed a chart of recent temperatures, noting trends, waves and breakout patterns. Most of us would not have confidence in such a dubious and unorthodox forecast. Or suppose, at a medical clinic, that a cardiologist made some hand measurements
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A Dark Winter for Value Stocks [Alpha Architect]As seen in the table below, the four-year period November 2016-October 2020 could be described as a dark winter for value stocks. U.S. value stocks underperformed U.S. growth stocks by 16.81 percentage points per annum (20.35% vs. 3.54%), the largest historical drawdown for value stocks in the U.S.even greater than the during the dot-com bubble of the late 1990s. While the value
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Research Review | 17 February 2023 | Risk Analysis [Capital Spectator]Submergence = Drawdown Plus Recovery Dane Rook (Stanford University), et al. February 2023 Drawdowns and recoveries are often analyzed separately yet doing so can leave investors with a distorted view of risk. Indeed, this problem is so commonplace that theres no consistently-used term for the joint event of a drawdown plus its subsequent recovery. We propose the term submergence for