This is a summary of links featured on Quantocracy on Tuesday, 05/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using Aggregate TAA Allocation as a Tool for Timing the Market [Allocate Smartly]We track 50+ public Tactical Asset Allocation (TAA) strategies. A unique feature of our platform is that we show the aggregate allocation across all of those strategies each day (member link). For example, the graph below shows the aggregate allocation year to date by category of asset. Note the increase in defensive allocation (ex. bonds) and decrease in risk allocation (ex. stocks) as the most
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Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns? [Alpha Architect]Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic CEO. It is not yet profitable and cash flow is negative, which means that traditional valuation metrics based on historical data are currently less
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Overnight and Intraday SPX returns [Robot Wealth]One of the things Ive noticed from staring at the screen all day for the last few months is that most of the large negative returns in US stock indexes have come overnight. What do you mean by overnight? The core stock trading session for US stocks is between 9:30 am and 4 pm Eastern Time. Thats when most stock market transactions take place. When we look at daily OHLC (Open High Low
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LSTM Networks: Can They Predict Equity Index Prices? [Quant Insti]In this article, we will study a deep learning framework based on recurrent neural networks to predict daily equity index price movements. Specifically, the focus will be on long short-term memory (LSTM) networks – which are a type of recurrent neural network. Different types of inputs and network architectures will be studied to determine their effect on predictability. We will see that with a
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Why Passively Investing in Active Methods May Not Work [Alpha Architect]In this piece, David Blitz provides an interesting perspective on using the passive framework as a blueprint for constructing active (ETF-like) products. The article is not an empirical (no charts!) nor a theoretical (no analytics) analysis, but is focused on just one question: Is it efficient to implement an active strategy by using passive investing techniques, that is, to first turn the active