This is a summary of links featured on Quantocracy on Wednesday, 05/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Trade Cost Optimisation [Scalable Capital]We discuss two major challenges when implementing a dynamic portfolio strategy in practice: Minimising trading costs and enforcing a no-fractional-dealing condition. To master these challenges, we present a flexible and efficient trade cost optimisation algorithm that can be combined with a wide variety of portfolio optimisation approaches. We explain what characterises a trade cost optimisation
-
Comparing Tactical Asset Allocation ETFs to Public TAA Strategies [Allocate Smartly]In this post we compare the performance of the 49 tactical asset allocation strategies that we track to 7 ETFs that provide all-in-one exposure to TAA. We were inspired by James Picernos Capital Spectator to run this analysis, so weve appropriated his list of 6 ETFs, and added Meb Fabers GAA (it would be a travesty not to include the godfather of modern TAA in the mix). Of the 7 ETFs,