This is a summary of links featured on Quantocracy on Monday, 09/24/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Decomposing Trend Equity [Flirting with Models]We introduce the simple arithmetic of portfolio construction where a strategy can be broken into a strategic allocation and a self-financing trading strategy. For long/flat trend equity strategies, we introduce two potential decompositions. The first implementation is similar to equity exposure with a put option overlay. The second is similar to a 50% equity / 50% cash allocation with a 50%
Liquid Alternatives: Alternative Enough? [Factor Research]Liquid alternatives offer hedge fund strategies in mutual fund format The correlations to the S&P 500 have been high, even of market neutral funds Diversification benefits have therefore been limited DISRUPTING THE HEDGE FUND INDUSTRY Liquid alternatives have been heralded as hedge funds for Main Street as these investment vehicles offer typical hedge fund strategies in mutual fund format with