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You can find the python code and a more detailed introduction of the model in the first edition of #QuanTips by Concretum|Research
Global Tactical Asset Allocation
Updated Results + Real-Market Implementation Using Python & @IBKR
🔗 https://t.co/XS7rEzoSOV
A special thanks to @M_S_Gabriel and Alberto Pagani for this article.
The most downloaded finance paper on SSRN is, without a doubt, A Quantitative Approach to Tactical Asset Allocation by @MebFaber, written in 2006 and downloaded more than 250,000 times.
So we decided to start our #QuanTips journey right there.
In this first edition, we:
1⃣ Reintroduce Faber’s original GTAA model
2⃣ Analyze its performance over the last 20 years
3⃣ Propose a simple fix to reduce rebalancing timing luck
4⃣ And (bonus!) share Python code to fully automate execution via Interactive Brokers
Links below 👇👇
If you have comments, questions, or refinements, please do not hesitate to DM or comment.
And just a gentle weekend reminder: these are base models, meant to serve as a foundation for building more personalized and effective trading solutions. We strongly encourage everyone, whether you're a novice trader, a seasoned quant, or prefer to stay behind a well-curated anonymous profile, to put in the hard work, challenge the assumptions, and develop better, implementable versions.
Enjoy your weekend!
Concretum Group is pleased to introduce #QuanTips, a new series of concise, practice-oriented articles designed to translate our quantitative experience into actionable guidance for professional investors and systematic traders.
Over the past two years, we have published rigorous academic papers—thorough but at times challenging to digest. With #QuanTips, our goal is to deliver clear, practical insights on topics such as:
📈 Backtesting Trading Strategies
🔄 Automating Portfolio Rebalancing
🗄️ Building Reliable Databases
⚖️ Exposure-Sizing Frameworks
📊 Statistical Analysis Methods
…and more
Our inaugural edition publishes this Friday, updating one of the most widely read papers of the past two decades by @MebFaber. It will include step-by-step Python code to implement the strategy in Interactive Broker using a semi/fully automated procedure.
This series is crafted to serve the institutional and systematic trading community. We welcome your suggestions: please comment below or message us directly with topics you’d like to see in future issues.
Stay tuned!
Regresamos con un nuevo episodio de Quantips & Tricks 📺, en donde te platicamos más detalles 📑 de seguridad sobre los robots 🤖 aspiradores que están en auge 👉https://t.co/DfJQJS5BYH
#quantips #consejos #tips #cibsereguridad
En el más reciente episodio de Quantips and Tricks📺, te compartimos algunos consejos que te ayudarán a lidiar con acosadores cibernéticos😖. Mira el episodio completo aquí 👉https://t.co/qjHd1eoPhm
#quantips #ciberseguridad #tecnologia #consejos #tips
¿Cómo podemos proteger nuestra ubicación de las redes sociales en iPhone y Android?🤔Mira el video completo aquí 👉https://t.co/qphcbMNR2B
#iphone #android #quantips #ciberseguridad #tecnologia
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