This is a summary of links featured on Quantocracy on Tuesday, 03/06/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Thinking in Long/Short Portfolios [Flirting with Models]Few investors hold explicit shorts in their portfolio, but all active investors hold them We (re-)introduce the simple framework of thinking about an active portfolio as a combination of a passive benchmark plus a long/short portfolio. This decomposition provides greater clarity into the often confusing role of terms like active bets, active share, and active risk. We see that while active share
Macroeconomic factors and Tactical Asset Allocation [Alpha Architect]The literature shows that macroeconomic factors can drive asset returns, however, economists and investment teams operate independently. In this paper, the authors attempt to bring macroeconomic discipline to tactical asset allocation by highlighting macroeconomic dashboards: The authors suggest that a macroeconomic dashboard try and answer the following question: If an investor has a one
Cryptocurrencies with Python eBook: Apr 15 [Quant At Risk]It is my pleasure to deliver a long-awaited QaR ebook on the introduction to blockchain and cryptocurrencies with Python on April 15, 2018. In the book we will cover inter alia the fundamental aspects of blockchain in general; the craze around cryptocoins like Bitcoin, Ether, LiteCoin, etc.; their time-series analysis and statistical modeling using Python; key aspects of cryptocurrency risk