This is a summary of links featured on Quantocracy on Tuesday, 12/06/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Testing Popular Portfolio Optimization Techniques [Allocate Smartly]This is a test of a number of popular approaches to portfolio optimization. Each seeks to answer the question: given a universe of assets, how much should we allocate to each? Weve intentionally made these tests as simple and fair (read: unoptimized) as possible in order to best represent each technique. Here we focus on the US market, and in a future post well extend these tests to global
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TRINdicators [Throwing Good Money]When I start to write a blog post, usually my process is this: Come up with a really bad pun for the title. Write the rest of it. Bad puns are an important part of finance, and life in general. A blog reader contacted me recently to chat about various technical analysis indicators, and one he mentioned was TRIN, aka the Arms Index. If youve been reading my blog awhile, you know that
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The Look of a Winner is a Loser (h/t SystematicRelativeStrength.com) [Basis Pointing]Investors tend to have some pretty engrained misconceptions of what winning funds look like. For instance, winning funds lay waste to the index and category peers; they do so over the short- and long-term; they corner really well, deftly avoiding big drawdowns and rocking during rallies; they dont rattle around much; they succeed like clockwork. Theyre Tom Brady. For those who have