This is a summary of links featured on Quantocracy on Monday, 05/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Adding a 1-Day Lag When Executing TAA Strategies [Allocate Smartly]We track 50+ public Tactical Asset Allocation (TAA) strategies in near real-time, allowing us to draw broad conclusions about TAA as a trading style. By design, most of those strategies trade just once per month, and most assume that next months asset allocation is both calculated and executed on the same day (learn more). When that day arrives each month, it can be quite stressful. The
-
How to Calculate Rolling Pairwise Correlations in the Tidyverse [Robot Wealth]How might we calculate rolling correlations between constituents of an ETF, given a dataframe of prices? For problems like this, the tidyverse really shines. There are a number of ways to solve this problem read on for our solution, and let us know if youd approach it differently! First, we load some packages and some data that we extracted earlier. xlfprices.RData contains a dataframe,
-
Cheap vs Expensive Factors [Factor Research]This research note was originally published at Alpha Architect. Here is the link. SUMMARY Factors can be valued like stocks Factor valuations have not changed structurally over the last 30 years Cheap factors outperformed expensive ones on average INTRODUCTION Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally.
-
Thoughts on Systematic Value Investing [Two Centuries Investments]As a risk factor, Value is very much alive. Confusing the risk side and return side of factors creates the misconceived question of whether the value factor is dead. Something that is dead, does not move. A dead factor is a flat horizontal line with random noise. By contrast, value has been moving violently down, which is not how death looks like. It is how a crash looks like. Like other risk
-
A Comparison of Charts [Dekalog Blog]Earlier in May I posted about Market Profile with some charts and video. Further work on this has made me realise that my earlier post should more accurately be described as Volume Profile, so apologies to readers for that. Another, similar type of chart I have seen described as a TPO chart (TPO stands for 'That Price Occurred' or ticked) and it is a simple matter to extend the code in