This is a summary of links featured on Quantocracy on Saturday, 04/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation in March [Allocate Smartly]This is a summary of the recent performance of a number of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Read more about our backtests or let AllocateSmartly help you follow these strategies in
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N-CryptoAsset Portfolios: Identifying Highly Correlated Cryptocurrencies using PCA [Quant at Risk]IMHO, there is nothing more exciting these days than researching, analysing, and a good understanding of cryptocurrencies. Powered by blockchain technology, we live in a new world that moves fast forward as we sleep. In my first post devoted to that new class of tradable assets we have learnt how to download daily sampled OHLC time-series for various coins. Having any of them, we can think
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Do ETFs Harvest Factors & Shrink Premiums? [Larry Swedroe]Financial research has uncovered many relationships between investment factors and stock returns. For investors, an important question is whether the publication of this research can impact the future size of factor premiums. Asking this question is crucial on two fronts. First, if anomalies are the result of behavioral errors, or even investor preferences, and the publication of research into