This is a summary of links featured on Quantocracy on Thursday, 04/27/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Tactical Asset Allocation and the US 60/40 Benchmark [Alpha Architect]Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase allocation to assets expected to outperform and reduce allocation to those expected to underperform, to enhance returns.
Creating a VIX Futures Term Structure In R From Official CBOE Settlement Data [QuantStrat TradeR]This post will be detailing a process to create a VIX term structure from freely available CBOE VIX settlement data and a calendar of freely obtainable VIX expiry dates. This has applications for volatility trading strategies. So this post, as has been the usual for quite some time, will not be about a strategy, but rather, a tool that can be used for exploring future strategies. Particularly,