This is a summary of links featured on Quantocracy on Wednesday, 03/25/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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This Crisis Has Not Been Kind to Tactical ETFs [Allocate Smartly]DIY tactical asset allocation (i.e. the types of public strategies that we cover on this site) has been strong through this crisis. Tactical ETFs on the other hand have struggled badly. We track 50+ DIY TAA strategies, allowing us to draw some broad conclusions about TAA as a style. In the graph below we show the YTD performance of the average strategy that we track in orange, versus the 60/40
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Econometric GDP Models Struggle With Coronavirus Fallout [Capital Spectator]The widespread disruption from the coronavirus pandemic is obvious to everyone, but economic nowcasting and forecasting models are only just beginning to reflect the damage to what had been a moderately expanding US economy. Thanks to the lag in economic data, which can arrive with as long as two to three months after the fact, formerly robust methodologies for tracking the US macro trend have