This is a summary of links featured on Quantocracy on Thursday, 08/24/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Timing Luck and Portfolio Tranching [Allocate Smartly]In this post we discuss portfolio tranching (i.e. dividing a portfolio into overlapping slices of the same underlying strategy) to minimize timing luck. This is an under discussed but important topic in tactical asset allocation. For more smart thoughts on portfolio tranching, see this excellent piece from Newfound Research. For our test case, well use a TAA strategy particularly