This is a summary of links featured on Quantocracy on Monday, 09/25/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Addressing Low Return Forecasts in Retirement with Tactical Allocation [Flirting with Models]The current return expectations for core U.S. equities and bonds paint a grim picture for the success of the 4% rule in retirement portfolios. While varying the allocation to equities throughout the retirement horizon can provide better results, employing tactical strategies to systematically allocate to equities can more effectively reduce the risk that the sequence of market returns is
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Quality Factor: Zero Alpha for Most Investors? [Factor Research]SUMMARY Its difficult to rationalise why there should be excess returns from high quality stocks The Quality factor needs to be constructed beta-neutral to achieve positive returns Exposure to the Quality factor is an attractive hedge for an equity-centric portfolio INTRODUCTION The concept of investing into the Quality factor is an odd one as its difficult to rationalise why investors
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Global Diversification Works for Multi-Factor Portfolios [Quantpedia]The benefits of country diversification are well established. This article shows that the same benefits extend to equity factors, such as value, size, momentum, investment, and profitability. Specifically, country factor portfolios reflect both common variation, which we define as the global factor, and local variation. On average, a US investor could enjoy a 30% reduction in portfolio volatility