This is a summary of links featured on Quantocracy on Tuesday, 08/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation in July [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
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Leveraged ETF A Simulation [Alphaism]This post is a token of appreciation for Faisal Habib who taught us structured products this summer. As commonly known among people who are familiar with leveraged ETFs, the tracking error of those products tend to be larger than what we intuitively expected. This phenomenon has been explored and explained by Avellaneda and Zhang (2009). More information can also be found here. In a nutshell, the