This is a summary of links featured on Quantocracy on Monday, 04/23/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Risk Ignition with Trend Following [Flirting with Models]While investors are often concerned about catastrophic risks, failing to allocate enough to risky assets can lead investors to fail slowly by not maintaining pace with inflation or supporting withdrawal rates. Historically, bonds have acted as the primary means of managing risk.However, historical evidence suggests that investors may carry around a significant allocation to fixed income only
Value Factor: Improving the Tax Efficiency [Factor Research]The tax efficiency of the Value factor can be improved by reducing exposure to dividend-yielding stocks Improving the tax efficiency reduces the performance in Europe and Japan, but not in the US Reducing turnover can be considered for minimising capital gains and stamp duty taxes INTRODUCTION Tax is not a particular exciting dinner party topic, but is highly relevant for net investor returns. A