This is a summary of links featured on Quantocracy on Thursday, 10/13/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Reverse Engineering AQR’s Risk Parity Strategy [Signal Plot]Im going to start this post by saying that it makes no sense for anyone to pay management fees to get a return stream that is highly correlated to any existing asset class. Unfortunately, many actively managed funds fall in this category. Theres two reasons for this. One, you can replicate this return stream by just investing in that asset class yourself, likely through low-cost ETFs. Two,
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What Is The Best “Risk Off” Asset for Trend Followers? [Alpha Architect]So youre a trend-follower. Great. But here is a question: What do you invest in when your rules suggest risk off? Many investors suggest low duration cash or t-bills. Seems reasonable. But is it optimal? Perhaps we should invest in longer duration risk-off assets like 10-yr bonds? We investigate these questions and come to the conclusion that keeping it simple is probably the best
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The illusion of choice in ETF’s [Factor Investor]A search for all equity ETF's available to U.S. investors in Bloomberg leads to a list of 969 candidates, a surprisingly large number of options for a relatively new investment vehicle. Given that most focus on large capitalization stocks here in the U.S. (not all, but most), this means that there has to be overlap in the underlying stock holdings…in some cases a lot of overlap. The
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A Review of @AlphaArchitect Quantitative Momentum book [QuantStrat TradeR]This post will be an in-depth review of Alpha Architects Quantitative Momentum book. Overall, in my opinion, the book is terrific for those that are practitioners in fund management in the individual equity space, and still contains ideas worth thinking about outside of that space. However, the system detailed in the book benefits from nested ranking (rank along axis X, take the top decile,