This is a summary of links featured on Quantocracy on Monday, 03/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation and Taxes [Allocate Smartly]Tactical asset allocation, by its nature, generates more transactions than buy & hold. Investors trading in taxable accounts would be justifiably concerned that the negative tax consequences of that might outweigh the benefits of TAA by shifting returns to less advantageous short-term capital gains. Our newest member feature responds to those concerns. We track more than 40 TAA strategies in
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Worried about extreme down markets? Consider formal portfolio risk models [Alpha Architect]Are there variations in the methods that funds use to manage risk? Do hedge funds practicing risk management outperform other funds during periods of financial crisis? Are there differences in the type of risk management practices in terms of performance? Are there competing explanations that may also explain the outperformance of risk-managed hedge funds? What are the Academic Insights? YES. The
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March Madness for Investors [Flirting with Models]Over the past few years, ReSolve Asset Management has progressively worked to develop new and exciting rules for the March Madness bracket tournament. While the stakes may be much lower than in investing, many of the lessons we have learned translate well to portfolio construction and strategy development. Knowing the rules, diversifying appropriately, developing robust models, making wise
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Algorithmic trading is here to stay [R Trader]A foreword for the regular reader: this article has nothing to do with R With the increase of market electronification, algorithmic trading is becoming more and more popular. As a result, the regulator has paid a particular attention to this activity in the MIFID II regulation, designing a brand new set of rules. Market participants are now operating within a more rigorous and stringent
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Equity Factors and GDP Growth [Factor Research]Economic cycles have a clear impact on factor performance Some factors show pro-cyclical while others highlight anti-cyclical characteristics Given that real GDP is not published in real-time, it is unlikely effective for factor selection INTRODUCTION Financial commentators frequently explain a rising stock market by the strength of the economy, which is rather intuitive. If the economy grows,
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Today s Employment-Sparked NASDAQ Rally Appears To Be A Short-Term Bullish Indication [Quantifiable Edges]The employment report has helped to spark a big rally today, and the NASDAQ is hitting new all-time highs. I looked back at other instances where the NASDAQ spiked higher and closed at a new high on the day of an employment report. The results I saw were compelling. Here are the list of instances along with their 5-day returns: 2018-03-10 With the only loser closing down 0.06%, the stats are