This is a summary of links featured on Quantocracy on Friday, 03/23/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Tax Efficient Tactical Asset Allocation [Allocate Smartly]New to Tactical Asset Allocation? Learn more: What is TAA? In our previous post, we looked at the tax impact of TAA for investors trading in taxable accounts. Using our database of more than 40 published TAA models we concluded that, while TAA as a whole has been relatively tax efficient, the particular strategies that you choose mattersa lot. Individual strategies range from very to not
Two Centuries of Momentum [Flirting with Models]A momentum-based investing approach can be confusing to investors who are often told that chasing performance is a massive mistake and timing the market is impossible. Yet as a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results. Our firm, Newfound Research, was founded in August 2008 to offer
What s Cheap? A Factor Perspective [Factor Investor]There are a hundred ways to evaluate whether an investment is cheap–discounted cash flows, competitor multiples, mean reversion, multiple of projected earnings–the list goes on…and on. To each his own on what is the "best" valuation methodology, but suffice it to say that the persistent tug of our own behavioral biases suggests that objective measures (as opposed to subjective) are