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Quantocracy’s Daily Wrap for 09/29/2015

This is a summary of links featured on Quantocracy on Tuesday, 09/29/2015. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Combining volatility, momentum, and trend in asset allocation [Alpha Architect]

    The Efficient Market Hypothesis (EMH) has been widely called into question in the investment literature, through two main anomalies: timing and low-volatility anomalies. In this paper, we aim to combine the predictive power of timing and low-volatility strategies to deliver better risk-adjusted portfolio performance. We adopt a two-step approach for a constant dataset composed of 18 country MSCI

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