This is a summary of links featured on Quantocracy on Monday, 11/13/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
A Case Against Overweighting International Equity [Flirting with Models]Weve read a number of outlooks and commentaries lately from firms arguing for investors to take a tactical tilt away from U.S. equities and towards International equities. The logic behind this tilt is largely driven by relative valuations: international equities appear significantly cheaper than U.S. equities based on most valuation metrics. In this commentary, we discuss why such a
-
Podcast: Building Mean Reversion trading strategies with @AlvarezQuant – Part 3 [Better System Trader]And were back for the final episode in this 3-part series on building Mean Reversion strategies with Cesar Alvarez from Alvarez Quant Trading. In the 1st episode we discussed the goal of Mean Reversion trading, how to select a trading universe, a number of effective techniques to measuring Mean Reversion and how to combine indicators to identify better quality trades. In the 2nd episode we
-
Market returns in odd and even weeks [UK Stock Market Almanac]A couple of years ago the Almanac wrote about a strange characteristic of the UK equity market which was the difference in performance in odd and even weeks. The original article is here (see the original article for the definition of odd/even weeks etc.) To recap briefly, the FTSE 100 Index saw much stronger returns in odd weeks than even weeks. Lets see whats happened recently and if this
-
Matrix Iterations for Adaptive Asset Allocation [TrendXplorer]Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952) AAA combines assets momentum, volatilities, and cross-correlations for building diversified investment portfolios In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels Actually, their encounter was coincidental. The