This is a summary of links featured on Quantocracy on Tuesday, 06/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Classical Asset Allocation: Combining Markowitz and Momentum [Allocate Smartly]This is a test of the Classical Asset Allocation strategy from the paper Momentum and Markowitz: A Golden Combination, authored by three of our favorite minds in tactical asset allocation: Dr. Wouter Keller, Adam Butler of GestaltU/ReSolve AM, and Ilya Kipnis from the blog QuantStrat TradeR. This TAA model employs Markowitzs classic mean-variance optimization, coupled with a short
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Academic Research Insight: Concentration is King [Alpha Architect]Title: PORTFOLIO CONCENTRATION AND PERFORMANCE OF INSTITUTIONAL INVESTORS WORLDWIDE Authors: NICOLE CHOI, MARK FEDEINA, HILLA SKIBA, TATYANA SOKOLYK Publication: JOURNAL OF FINANCIAL ECONOMICS, 2017 (version here) What are the research questions? Portfolios in international markets tend to be more concentrated (due to home bias). There is an unresolved puzzle in the literature: Does this
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State of Trend Following Down in May and YTD [Wisdom Trading]May 2017 Trend Following: DOWN -2.59% / YTD: -13.91% Despite a pick up in the second half of the month, the index closed last month in the red, continuing the downward trend for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May: WSTF 201706 Index And the 12-month chart: WSTF 201706 Index 12months Below are the summary stats: