This is a summary of links featured on Quantocracy on Tuesday, 06/05/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation in May [Allocate Smartly]This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what we do or let AllocateSmartly help you follow these strategies in
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The Strength Of Two Unfilled Up Gaps & A 50-Day High [Quantifiable Edges]One interesting study that I discussed in last nights subscriber letter considered the fact that SPY left an unfilled upside gap for the 2nd day in a row while closing at a 50-day high. The results table I shared can be found below. 2018-06-05 The size of the follow-through isnt terribly large, but it has been quite consistent that some follow through was achieved in the next few days. The
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Currency Management with FX Style Factors [Quantpedia]Currency hedging is often approached with an all-or-nothing mentality: either full hedging of all foreign exchange (FX) positions or no hedging at all. As a more nuanced alternative, we suggest systematically harvesting the benefits of the FX style factors carry, value and momentum. In particular, we demonstrate how these factors can expand the opportunity set of traditional asset allocation when