This is a summary of links featured on Quantocracy on Thursday, 04/16/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation: Mid-April Checkup [Allocate Smartly]Tactical Asset Allocation (TAA) weathered the storm in February and March, significantly paring down losses vs conventional buy & hold. So far it has trailed the bounce in April, but these are early days. 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 MTD and YTD returns of these 50+
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A Review of Zorro for Systematic Trading [Robot Wealth]One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High ROI activities include: Implementing new trading strategies within a proven framework. An example might be to implement a portfolio of pairs trades in the equity market. Scaling existing strategies to new instruments or markets. For example, porting the pair
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Is There a Tail Risk Premium in Stocks? [Alpha Architect]It has been well documented both that stock returns have much fatter tails than a normal distribution would generate, and that tail events occur much more frequently than a normal curve would predict. 1 For example, Benoit Mandelbroit and Richard Hudson examined the daily index movements of the Dow Jones Industrial Index from 1916 to 2003. They noted that if stock returns were normally