Quantocracy’s Daily Wrap for 01/08/2019

This is a summary of links featured on Quantocracy on Tuesday, 01/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Payday Anomaly Revisited [Alpha Architect]

    Unless you are a die-hard buy-and-hold investor, chances are that you need to rebalance your portfolio at some point. The question is when? And how often? And why at a specific time? Some strategies rebalance once a year, some multiple times a day. What if there were better times to rebalance? Last thing you want is to rebalance on a highly volatile day like August 31, 1998 and deal with a -6.5%
  • Ranking The Current US Stock Market Drawdown vs. History [Capital Spectator]

    Its anyones guess if the recent rebound in US equities will soon push the S&P 500 Index to a new high. What we do know is that the market has staged a solid bounce so far. For the eight trading days since Christmas Eves close, when the S&Ps current drawdown hit bottom, the index is up a solid 8.4%. Theres still a long climb ahead to recover the remaining ground lost since
  • Rare Zweig Breadth Thrust Signal Suggests Bullish Implications [Quantifiable Edges]

    The strong breadth we have seen recently has caused the 10-day exponential moving average of the NYSE Up Issues % to rise up to 62%. A move through 61.5% after being below 40% within the last 2 weeks is considered a Zweig Breadth Thrust trigger. This is a signal created by Martin Zweig. Over the long haul it has been a rare but powerful signal. Below is a list of all signals since 1970 along with
  • Herding and Mutual Fund Performance [Alpha Architect]

    What are the Research Questions? Can investors identify skilled and unskilled mutual fund managers by observing their tendency to herd? Do differences in herding behavior across funds predict mutual fund performance? Does skill drives the link between herding and future performance? Does herding reduce the probability that inexperienced managers are terminated? What are the Academic Insights? By

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