This is a summary of links featured on Quantocracy on Saturday, 03/14/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Rebalancing ruminations [OSM]Back in the rebalancing saddle! In our last post on rebalancing, we analyzed whether rebalancing over different periods would have any effect on mean or risk-adjusted returns for our three (equal, naive, and risky) portfolios. We found little evidence that returns were much different whether we rebalanced monthly, quarterly, yearly, or not at all. Critically, as an astute reader pointed out, if
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Low Volatility-Momentum Versus Value-Momentum Factor Portfolios [Alpha Architect]If an investor would state today that in ten or twenty years most portfolios would include an allocation to cryptocurrencies, they would likely be laughed at. However, a similar response would have been encountered in the Internet Bubble and someone proposed to invest in low-risk stocks. During that time, investors were ignoring boring companies like REITs or utilities and were plowing into