This is a summary of links featured on Quantocracy on Tuesday, 08/20/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Quint Switching Filtered: Not as Simple as It Appears to Be [Allocate Smartly]This is a test of the Quint Switching Filtered strategy from Lewis Glenn. On the surface this is a run-of-the-mill tactical asset allocation strategy based on short-term momentum, not unlike several strategies that we track. But digging a little deeper, well highlight qualities that make this strategy unique both for the better and the worse. Results from 1970 net of transaction costs
-
A new way to sentiment-tag financial news [Vered Zimmerman]Over the past few years, financial-news sentiment analysis has taken off as a commercial natural language processing (NLP) application. Like any other type of sentiment analysis, there are two main approaches: one, more traditional, is by using sentiment-labelled word lists (which we will also refer to as dictionaries). The other, is using sentiment classifiers based on language models trained on
-
Crisis Proof Your Portfolio: part 1/2 [Alpha Architect]This is a unique article in that it directly assesses the feasibility and effectiveness of protecting equity portfolios using traditional passive means and more contemporary active strategies. It is jam-packed with information and analysis that is best consumed in two parts; however, a good summary of the article by Larry Swedroe can be found here. The focus in part 1 is the usefulness of