This is a summary of links featured on Quantocracy on Tuesday, 03/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Testing a Risk Premium Value Strategy [Allocate Smartly]This is a test of a Risk Premium Value strategy (RPV) that allocates to major US asset classes based on current risk premium valuations relative to historical norms. Readers will note the similarity between RPV and other related strategies, such as CXO Advisorys SACEVS. Backtested results from 1987 net of transaction costs follow (see backtest assumptions). Results are shown in two flavors:
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Does Crowdsourced Investing Work? [Alpha Architect]Historically, as Richard Thaler pointed out in his book Misbehaving, financial academics have looked at humans as Econs. An Econ, unlike a human, values everything down to a penny before they make a decision, knows all possible alternatives, weighs them accurately, and always optimizes. 1 In recent years weve moved away from thinking of humans as Econs. We are now left with the age-old