This is a summary of links featured on Quantocracy on Wednesday, 04/01/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation: Surveying the Damage in March [Allocate Smartly]Tactical Asset Allocation (TAA) weathered the storm in March well, significantly paring down losses versus conventional buy & hold. We track 50+ TAA strategies sourced from books, papers, etc., allowing us to draw some broad conclusions about TAA as a style. In the table below we show the March and YTD returns of these 50+ strategies: 20 out of 54 strategies were up for the month, and 16 up
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Predicting the fall: Revisiting the Forecasting VIX peaks experiment [Quant Dare]We are living through unprecedented times. Due to the ongoing global health pandemic, the international markets have plummeted with speeds never seen before, reminiscent of the 1930s and the Great Depression. On February 19, 2020, the SP500 Index closed at an all-time high price and then proceeded to decline sharply over the following days, accumulating 7 consecutive daily losses. Then after a