This is a summary of links featured on Quantocracy on Wednesday, 07/07/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Strategies That Play Well With Others [Allocate Smartly]We track more than 60 tactical asset allocation strategies. In this post we look at which of those strategies are most often recommended by common portfolio optimization techniques, and why strategies that play well with others are not always the best strategies. First, a little background for the uninitiated: Members can combine the strategies we track into what we call Model
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Factor Olympics Q2 2021 [Factor Research]The Q1 2021 factor rotation into Value and Size has reversed Value is the only factor with positive performance in 1H 2021 Momentum has generated the most negative returns INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence of positive excess returns across
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When DJI Rallies From 50-day Low to 50-day High Very Quickly [Quantifiable Edges]The SPX, Dow, and NASDQ all closed at all-time highs on Friday. Just 10 days ago the Dow closed at a 50-day low. That quick of a move from low to high is quite an accomplishment. Over the last 101 years this just the 21st time the Dow has managed to move from a 50-day closing low to a 50-day closing high within 10 days. Below are all the other instances, along with the $DJI performance in the