This is a summary of links featured on Quantocracy on Monday, 03/05/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Testing the Efficiente Index [Allocate Smartly]This test is based on the Efficiente Index from JP Morgan. A variation of this strategy is available via the ETF EFFE. The strategy uses traditional mean-variance optimization (aka the Efficient Frontier) to trade a broad basket of asset classes, but its actually a momentum strategy in disguise. The strategy hasnt generated huge returns, but it has had success managing losses, reducing
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Dividend Yield Combinations [Factor Research]According to MorningStar assets under management of smart beta products breached $1 trillion in 2017 and more than half of the assets were invested in just three factors: Value, Growth and Dividend Yield. Naturally there is a significant amount of empirical evidence that suggests Value stocks generate positive excess returns across time, but much less evidence for the latter two factors. We