This is a summary of links featured on Quantocracy on Monday, 08/29/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bold Asset Allocation [Allocate Smartly]This is a test of Dr. Wouter Kellers tactical strategy Bold Asset Allocation (BAA) from his paper Relative and Absolute Momentum in Times of Rising/Low Yields. Backtested results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 60+ asset allocation strategies like this one in near real-time. Logarithmically-scaled.
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What s wrong with Inverse ETFs? [Factor Research]Inverse ETFs come with significant risk disclosure Analyzing the performance of these products justifies the warnings There is a significant difference between performance of inverse ETFs & the inverse underlying indices INTRODUCTION In May 2022, Allianz, the large German insurance company, agreed to pay $6 billion in damages to investors and have its U.S. asset management arm plead guilty to