This is a summary of links featured on Quantocracy on Wednesday, 02/27/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
KDA – Robustness Results [QuantStrat TradeR]This post will display some robustness results for KDA asset allocation. Ultimately, the two canary instruments fare much better using the original filter weights in Defensive Asset Allocation than in other variants of the weights for the filter. While this isnt as worrying (the filter most likely was created that way and paired with those instruments by design), what *is* somewhat more
Rebalancing…Not so Fast [Alpha Architect]My last article used Warren Buffetts pre-crisis sale of put options to highlight the risk of getting over our financial skis. In both temperament and negotiation, Warren can outlast most bear markets. Many of us cannot. Proponents of rebalancing should acknowledge the real risk that downturns can continue, and that rebalancing increases the risk of crying uncle, giving into the pain and