This is a summary of links featured on Quantocracy on Tuesday, 03/01/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Where Tactical Asset Allocation Stands Now (Feb 28, 2022) [Allocate Smartly]It always feels a little offensive talking dollars and cents at times like this (*), but we hope that by helping investors to have a concrete strategy, we can at least take this one stress off the table. We track 60+ Tactical Asset Allocation (TAA) strategies, allowing us to draw some broad conclusions about TAA as a style. So far, TAA has followed the pattern investors have come to expect:
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Is 60:40 a dead parrot? Or just resting? [Investment Idiocy]Very brief blog post this month; I'm deep into book writing mode at the moment. Chanelling Clif Assness, I'm just going to present a few charts and lead you to draw your own conclusions. Excess / futures returns from portfolio of 60% S&P 500, 40% US Ten year treasuries (Authors own data) Jorda et al The rate of return on everything QJE 2019 One year rolling correlation of