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Quantocracy’s Daily Wrap for 08/07/2019

This is a summary of links featured on Quantocracy on Wednesday, 08/07/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Betting Against Beta (BAB) Construction [Alpha Architect]

    One of the more popular equity strategies over the past decade is low volatility investing. Simply put, this is a systematic strategy that invests in stocks with lower volatility, either measured by Beta or standard deviation. Why? Well, the low-beta anomaly is the fact that in the past, academics (and practitioners) have noticed that high beta stocks have underperformed expectations from asset
  • Market Timing and Bond ETFs [Alvarez Quant Trading]

    In my last two posts, Market Timing with a Canary, Gold, Copper, LQD, IEF and much more and Day of Month and Market Timing, I assumed that we earned no interest in cash. Most methods did a good job of telling us when to be in the SPY and when to be in cash. How much could we boost returns by investing the cash in a bond fund? Which Bond ETFs? I tested these ETFs in what I would consider increasing

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