This is a summary of links featured on Quantocracy on Tuesday, 11/07/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Timing TAA Strategies Based on Relative Strength: A Suboptimal Approach [Allocate Smartly]We track a wide range of tactical asset allocation strategies in near real-time (41 and counting), which members can combine into their own custom portfolios. We provide members with a wealth of data to understand how each strategy fits into a coherent trading plan, but we dont tell members the absolute best ones to trade or how to combine them. Thats because there isnt a single
Earning Money in Cryptocurrency Markets by Spotting Statistical Arbitrage Opportunities [Quant at Risk]When you come in contact with cryptocurrencies, e.g. Bitcoin (BTC), you quickly realise that there is no single price of BTC at any given moment. The reason is that Bitcoin is traded on different markets. It can be worth more on Coinbase exchange and less on Kraken exchange. In particular, the Coindesk Bitcoin Price Index (XBP) aims to unify the BTC price into a single number based on four markets
Replicating Indexes In R (Part III): Socially Responsible Investing [Capital Spectator]In previous installments of replicating indexes I profiled the style-analysis methodology and presented an example using a hedge fund index. Now lets turn to a strategy of replicating the S&P 500 Index with a handful of stocks that are considered socially responsible investments (SRI). Whats the rationale? A growing number of investors require that their equity portfolios match certain