This is a summary of links featured on Quantocracy on Monday, 02/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Growth is not “Not Value” [Flirting with Models]Summary Style boxes give us the impression that "growth" and "value" sit at opposite ends of the spectrum. In reality, whether a company is growing or shrinking ("growth") is independent of whether a security is cheap or expensive ("value"). To align with the single axis expectation of "growth versus value," most index providers combine a growth
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Tactical Asset Allocation For The Real World [Capital Spectator]Managing risk via tactical asset allocation (TAA) offers a number of encouraging paths for limiting the hefty drawdowns that take a toll on buy-and-hold strategies. But what looks good on paper can get ugly in the real world. There's a relatively easy fix, of course: consider the total number of trades associated with a strategy as another dimension of risk. The dirty little secret is that
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Book Review: Adaptive Asset Allocation from @GestaltU [CSS Analytics]I recently read Adaptive Asset Allocation ( link to the book) by Butler, Philbrick and Gordillo of ReSolve Asset Management. The book is the culmination of research developed over the years by the ReSolve team towards the next generation approach of dynamic asset allocation. The core principles of this approach are the ability to go anywhere and adapt to changes in the economic
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When Low Vol Becomes High Vol [Meb Faber]One of the most fertile areas of research is in factor rotation. Any asset class, investment strategy, or factor, despite working well over time, goes through periods of over and underperformance. Those periods set the stage for future reversion, and are largely due to fund flows and people chasing performance. Lots of the fund flows over the past # of years have gone into the marketing of low vol