This is a summary of links featured on Quantocracy on Friday, 08/31/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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How Members Are Using Our Site and What That Says About TAA Investors [Allocate Smartly]Were in unique position to analyze the behavior of Tactical Asset Allocation investors. Our platform helps members analyze 40+ published TAA strategies from many angles, including: historical performance, tax efficiency, exposure to rising interest rates, etc. Members can combine those strategies together into what we call custom model portfolios, which they can then follow in near
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Enhanced Factor Portfolios [Quantpedia]We dissect the performance of factor-based equity portfolios using a characteristics-based multi-factor expected return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal, because they ignore the possibility that these stocks may be unattractive from the perspective of other factors. We also show that differences