Quantocracy’s Daily Wrap for 12/01/2018

This is a summary of links featured on Quantocracy on Saturday, 12/01/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation in November [Allocate Smartly]

    This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what we do or let AllocateSmartly help you
  • Listen to the whole quant album [Cuemacro]

    Its 50 years since the Beatles released the White Album. To celebrate it has been reissued with new mixes of the original tracks. I have to admit, its rarer these days to listen to an album the whole way through. Instead, I invariably listen to playlists on iTunes which select tracks from all manner of different artists and albums and mix them together. iTunes and Spotify have revolutionized
  • Understanding the correlation of equity and bond returns [SR SV]

    The correlation of equity and high grade sovereign bond returns is a powerful driver of portfolio construction and the term premia of interest rates. This correlation has turned from positive in the 1970s-1990s to negative in the 2000s-2010s, on the back of similar shifts in the correlation between inflation and economic growth and between inflation and real interest rates. The structural

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