This is a summary of links featured on Quantocracy on Thursday, 06/29/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation: Does the Day of the Month Matter? [Alpha Architect]Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. This is a feature, not a limitation. Trading infrequently forces a strategy to ignore day-to-day noise and focus on long-term trends. This reduces the negative impacts of turnover, including transaction costs, taxes and whipsaw.
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Dynamic Asset Allocation for Practitioners, Part 3: Risk-Adjusted Momentum [Invest Resolve]So far, weve discussed the importance of investment universe selection and price momentum in designing a robust asset allocation methodology. If you havent read those articles, we would strongly encourage you to do so before proceeding with this one. We lay most of the explanatory and theoretical groundwork for this article in the previous instalments, and we wont repeat them here. In our
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Podcast: Strategy development – powered by machine learning w/ Morgan Slade [Chat With Traders]Youll recall, I had Andy Kershner on the podcast a few episodes back. Towards the end of that episode, Andy briefly mentioned a cloud-based algo development platform and fund, CloudQuant, which is a subsidiary of Kershner Trading Group I mention this, because with me on this episode is Morgan Sladethe CEO of CloudQuant. Morgans career as a trader and portfolio manager began 20-years
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Dispersion Trading Using Options [Quant Insti]This article is the final project submitted by the author as a part of his coursework in Executive Programme in Algorithmic Trading (EPAT) at QuantInsti. Do check our Projects page and have a look at what our students are building. Introduction The Dispersion Trading is a strategy used to exploit the difference between implied volatility and its subsequent realized volatility. The dispersion