This is a summary of links featured on Quantocracy on Wednesday, 11/17/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Diving Deeper: Does the Day of the Month Matter? [Allocate Smartly]Most Tactical Asset Allocation (TAA) strategies trade just once a month. Backtests of those strategies usually assume trades are executed on the last trading day of the month. Why? Monthly asset data is often available further back into history than daily data. Assuming trades are executed at month-end allows for longer backtests, showing how the strategy has performed in a wider variety of