This is a summary of links featured on Quantocracy on Friday, 06/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Does the Day of the Month Matter? [Allocate Smartly]Be sure to check out our guest post over at research supersite Alpha Architect: Tactical Asset Allocation: Does the Day of the Month Matter? Backtests of long-term strategies like tactical asset allocation are usually shown trading at the end of the month, both because it makes the analysis simpler and because monthly asset class data is easier to come by. In our guest post we talk about our
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Research Review | 30 June 2017 | Searching For Alpha [Capital Spectator]US Sector Rotation with Five-Factor Fama-French Alphas G. Sarwar (University of Greenwich), et al. June 16, 2017 In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that
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Using a Market Timing Rule to Size an Option Position, A Static Case [Relative Value Arbitrage]In the previous installment, we discussed the use of a popular asset allocation/market timing rule (10M SMA rule hereafter) to size a short option position. The strategy did not work well as it was the case in traditional asset allocation. We thought that the poor performance was due to the fact that the 10M SMA rule is more of a market direction indicator that is not directly related to the PnL
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Are REITs a Distinct Asset Class? [Quantpedia]Real estate investment trusts (REITs) are often considered to be a distinct asset class. But, do REITs deserve this designation? While exact definitions for asset class may vary, a number of statistical methods can provide strong evidence either for or against the suitability of the designation. The authors step back from the established real estate and REITs literature and answer this broader
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Free Friday #19 Long/Short Small Caps and June Update [Build Alpha]This Free Friday, Free Friday #19, is a user submission! It is a long/short strategy for $IWM – the Russell 2000 ETF. Both the long and the short strategy only have two rules each and only hold for 1 day. Below Ive posted the long strategy on the left and the short strategy on the right. Short edges have certainly been difficult to find over the past few years in the US equity indexes on a