The Theory and Practice of Investment Management
19 May, 2013
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The Safe Investor
11 April, 2013
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Learning From Mebane Faber's "A Quantitative Approach to Tactical Asset Allocation"
Quantitative market timing utilising a 10-month moving average approach reduces portfolio risk significantly.
01 April, 2013
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Quantitative Technical Analysis
14 March, 2013
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Learning From Gary Antonacci's "Risk Premia Harvesting Through Dual Momentum"
Both Absolute and Relative Momentum can enhance returns and Absolute Momentum reduces volatility and drawdown more. Combining Absolute and Relative Momentum gives the best risk-adjusted returns.
01 March, 2013
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Quantitative Trading Systems
19 February, 2013
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Professional Automated Trading
19 January, 2013
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Learning From ISAM's "The Fallacy of Trend-Following Trend-Following"
Trend following portfolio's returns are mean-reverting.
01 January, 2013
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Modeling Trading System Performance
19 December, 2012
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Micro-Trend Trading for Daily Income
18 November, 2012
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