This is a summary of links featured on Quantocracy on Monday, 04/01/2019. 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 (TAA) strategies, net of transaction costs. 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
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Short Selling + Insider Selling = Bad News [Alpha Architect]What are the research questions? Is there a relationship between short selling activity and insider selling? What is the impact of short selling trading strategies that are conditioned on insider trading signals? Does the price impact of short selling subsume that of insider trading? Is the price impact of short selling trades permanent or are do they eventually reverse? What are the Academic
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Inverted Yield Curve: Danger or Noise? [Two Centuries Investments]In addition to market valuation ratios like CAPE, the slope of the yield curve is one of the most talked about signals used to estimate future recessions and market returns. During the second half of last month (March 2019), the yield curve has inverted by about 5 basis points with the 10-year rate reaching 2.37% and 3-month 2.42%. Although, by the end of the month, the curve flipped slightly
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Taxes and Trend Equity [Flirting with Models]Due to their highly active nature, trend following strategies are generally assumed to be tax inefficient. Through the lens of a simple trend equity strategy, we explore this assertion to see what the actual profile of capital gains has looked like historically. While a strategic allocation may only realize small capital gains at each rebalance, a trend equity strategy has a combination of large
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Test of Constant Velocity Model Kalman Filter [Dekalog Blog]Following on from my previous post, this post is a more detailed description of the testing methodology to test kinematic motion models on financial time series. The rationale behind the test(s) which are described below is different from the usual backtesting in that the test(s) are to determine whether the Kalman filter model is mismatched or not, i.e. whether the model innovations match the
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Factor Olympics Q1 2019 [Factor Research]2019 has started favorable for factor investors, compared to 2018 Low Volatility generated the best and Value the worst performance Factor performance is comparable in the US & Europe, but different in Japan INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where academic research highlights positive excess