This is a summary of links featured on Quantocracy on Monday, 07/02/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Tactical Asset Allocation in June [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
-
The New Glide Path [Flirting with Models]In practice, investors and institutions alike have spending patterns that makes the sequence of market returns a relevant risk factor. All else held equal, investors would prefer to make contributions before large returns and withdrawals before large declines. For retirees making constant withdrawals, sustained declines in portfolio value represent a significant risk. Trend-following has
-
Bitcoin Volatility, Skew, and Options Pricing [Only VIX]As I wrote before, Bitcoin volatility is quite different from volatility of other assets. I will continue with the same topic here. Bitcoin prices shot up to all-time highs this winter, and have sharply declined since. When an equity index declines, volatility typically moves up, but in the case of BTC, volatility has actually declined. This behavior is similar to VIX index. Although I know that
-
Improving The Moving Average Crossover System [System Trader Success]Lets take a look at a simple moving average crossover system and see if we can improve it. Specifically, can we improve the moving average systems performance by reducing the number of whipsaws during those dreaded range bound markets? Whipsaws occur when a market moves from a trending mode to a consolidation mode. During this consolidation mode the system gets whipsawed from long to short
-
Factor Olympics 1H 2018 [Factor Research]Factor performance in 1H 2018 is comparable to 2017 The Size factor has taken the lead, likely reflecting the threat of global trade wars Value has generated the most negative returns across regions INTRODUCTION We present the performance of seven well-known factors on an annual basis for the last 10 years and the first half of 2018. It is worth mentioning that not all factors have strong academic
-
For Consistency Across Market Conditions, Try a Quant Manager [Alpha Architect]What are the research questions? Using eVestment, a source of data for asset managers, the authors evaluate U.S. fundamental and quantitative managers, specifically core, growth and value styles. Eighteen strategy types (six in each style) were identified and results calculated using averages for the median manager over the period including January 1996 to December 2016. Is the observed