This is a summary of links featured on Quantocracy on Tuesday, 07/21/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Eureka! A Valuation-Based Asset Allocation Strategy that Might Work [Alpha Architect]Weve had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up in disappointment Can market Valuations Be Effective Market-Timing Signals? Dissecting Goldmans 99 Percentile Market-Timing Signal Nonetheless, weve continued on the quest to improve tactic
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Systems building – execution [Investment Idiocy]People often get systematic and automated trading mixed up. The latter is a subset of the first. You can't have a system which is fully automated if it relies on discretionary input, no matter how small. But you can have a system which needs a human to make it run, even though there is no discretion, and its fully systematic. The main area where humans are often used with s
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Short Rates as a Predictor of Stock Returns [Factor Wave]In order to sell a stock short you first need to borrow it from someone else. The way that this typically happens is that your broker takes it from another clients account and loans it to you. You can then sell it to someone else. Although this means you end up with cash in your account, individuals typically don't receive interest for this. In fact they normally pay the broker a fee. (