This is a summary of links featured on Quantocracy on Monday, 02/26/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
The Diversification Dangers of DIY Tactical [Flirting with Models]After 2008, tactical ETF strategies rose in popularity. We often come across advisors who self-implement their own tactical strategies, using simple measures of momentum and trend. We believe that thoughtful implementation of tactical strategies requires admission that tactical choices will be wrong from time-to-time, and therefore advocate for the prudent use of diversification to manage
Factor Construction: Portfolio Rebalancing [Factor Research]Factor portfolios do not benefit significantly from intra-month rebalancing However, too infrequent rebalancing leads to lower risk-return ratios The robustness of factor performance at different rebalancing periods is one of the advantages of factor investing INTRODUCTION Creating factor portfolios requires investors to make a number of decisions regarding portfolio design and can be considered
The Negative Impact Of Friday s Low Volume [Quantifiable Edges]I mentioned in a Tweet on Friday that the low volume on Fridays rally was a bit concerning. The study below is one I featured in the subscriber letter this weekend. It examined other times substantial rallies occurred during uptrends on very light volume. 2018-02-25 Stats here suggest a downside edge. Perhaps not a huge edge, but in my view one that appears strong enough to warrant some