This is a summary of links featured on Quantocracy on Monday, 12/24/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Asset Allocation Roundup [Allocate Smartly]Six recent asset allocation articles (tactical or otherwise) that you might have missed: 1. Trend Following on Steroids (Wouter Keller via Alpha Architect) Wouter Keller details his latest tactical model: Defensive Asset Allocation. We track a number of strategies from Dr. Keller and his partner-in-quant JW Keuning (including this one). Its worth noting that their strategies are, overall,
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Dart-Throwing Monkeys and Process Diversification [Flirting with Models]This weeks commentary is a short addendum to last weeks piece, attempting to serve as a (very) brief and simplified summary of process diversification. Volatility is only one way of measuring risk; dispersion in terminal wealth is another. Using simulations of dart-throwing monkeys, we plot the dispersion in terminal wealth for different levels of portfolio and manager diversification. We
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Research Compendium 2018 [Factor Research]In 2018 we published more than 50 research notes and 4 white papers on mainly factor investing, but also on other topics like zombie stocks, replicating private equity returns, statistical arbitrage, and mutual fund performance chasing. We would like to thank you for reading and always appreciate feedback, especially if critical. The Research Compendium 2018 contains all of our research published