This is a summary of links featured on Quantocracy on Monday, 12/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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2019 Research Compendium [Flirting with Models]In 2019, we published 45 research notes (not including video + audio commentary), totaling over 100,000 words. Our research spanned a number of topics, including: ensemble techniques, deep dives on trend following, factor and sector rotation, fixed income analysis, and of course rebalance timing luck. Our 2019 research compendium contains all this research, categorically organized for easy
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Our Most Popular Posts of 2019 [Two Centuries Investments]We are closing 2019 with much gratitude to our clients, collaborators and online visitors. We have launched this blog less than a year ago and have had the pleasure of seeing many visitors from all over the world ranging from buy-side investors, financial advisors, asset owners, thought leaders, academics, and individual investors. We applaud all of you for joining us on the journey of becoming
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Top Ten Blog Posts on Quantpedia in 2019 [Quantpedia]The end of the year is a good time for a short recapitulation. Apart from other things we do (which we will summarize in our next blog in a few days), we have published around 50 short blog posts / recherches of academic papers on this blog during the last year. We want to use this opportunity to summarize 10 of them, which were the most popular (based on Google Analytics tool). Maybe you will be
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Asset Allocation vs. Factor Allocation – Can We Build a Unified Method? [Alpha Architect]Weve taken a lot of time reviewing multi-factor allocation techniques within the equity portion of a portfolio here and here. But thus far we have only written on the concept of utilizing a multi-factor investment technique in contrast with traditional asset allocation here. In this post, we are again going to engage the idea of using factors as a supplement to more traditional asset allocation