This is a summary of links featured on Quantocracy on Monday, 10/31/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Rising Correlations and Tactical Asset Allocation [Flirting with Models]The power of strategic asset allocation is best harnessed when future asset class behavior is relatively certain and diversification opportunities abound. Uncertainty around rising rates and the current monetary policy environment may call both of these criteria into question. Holding all else equal, tactical asset allocation (TAA) is most likely to add value in environments where
Demystifying the Hurst Exponent Part 1 [Robot Wealth]This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series together, but the awesome code presented throughout is all his. Thanks Tom! Mean-reverting time series have long been a fruitful playground for quantitative traders. In fact, some of the biggest names in quant trading allegedly made their fortunes exploiting mean reversion of financial time series
The Rebalance Bonus for Value and Momentum Porfolios [Alpha Architect]A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value and momentum stocks? In concrete terms, is combining a value fund with 300+ holdings (e.g., DFA Large Cap Value, DFLVX)