This is a summary of links featured on Quantocracy on Sunday, 04/01/2018. 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 wide range 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. Learn more about what we do or let AllocateSmartly help you follow these strategies in
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A Simple System For Hedging Long Portfolios [Relative Value Arbitrage]In this post, we are going to examine a trading system with the goal of using it as a hedge for long equity exposure. To this end, we test a simple, short-only momentum system. The rules are as follows, Short at the close when Close of today Cover at the close when Close of today > lowest Close of the last 10 days The Table below presents results for SPY from 1993 to the present. We performed