This is a summary of links featured on Quantocracy on Tuesday, 07/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Philosophical Economics Growth-Trend Timing (Redux) [Allocate Smartly]This is a test of two variations of the Growth-Trend Timing (GTT) strategy from the always thought-provoking Philosophical Economics. GTT combines trends in both price and key economic indicators to switch between US equities and cash. Like most trend-following strategies, the strength of GTT hasnt been in generating outsized returns; it has been in maintaining returns while managing losses.
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Strategies to Reduce Crash Risk in Stocks [Alpha Architect]Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity risk. Heres the simple math demonstrating the point. Well-diversified equity portfolios have volatility of about 20 percent, and high-quality intermediate bond portfolios have volatility of about 5 percent. Thus, in terms of risk
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The $VIX / $SPX Action Is Suggesting A Brief Pullback [Quantifiable Edges]While the SPX closed up the VIX also rose. Most often they trade opposite each other, so this kind of action is somewhat unusual. But VIX has a tendency to decline going into the weekend (Friday afternoons), and then rise when it returns from the weekend. So to see this action on the first trading day of the week is less unusual than at any other time. Still, combined with the SPX 50-day high, it