This is a summary of links featured on Quantocracy on Tuesday, 05/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Beta Convexity [Jonathan Kinlay]Around a quarter of a century ago I wrote a paper entitled Equity Convexity which to my disappointment was rejected as incomprehensible by the finance professor who reviewed it. But perhaps I should not have expected more: novel theories are rarely well received first time around. I remain convinced the idea has merit and may perhaps revisit it in these pages at some point in future.
Get Fed Day Research & Tools While Helping Fight Multiple Sclerosis [Quantifiable Edges]Quantifiable Edges is now offering our Fed Day research and tools to anyone that makes any size donation to the MS Society! Keep reading for details. One bit of research that Quantifiable Edges has become known for are the many studies I have published on Fed Days. In fact, you could say I wrote the book on Fed Days. And the pdf version of that book sells for $25. But between now and June 24th I
Academic Research Insight: Factor Investing Over the Long Run [Alpha Architect]Title: FACTOR BASED INVESTING: THE LONG TERM EVIDENCE Authors: ELROY DIMSON, PAUL MARSH, AND MIKE STAUNTON Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, 2017, SPECIAL ISSUE (version here) What are the research questions? Is there out-of-sample (OOS) evidence for factor investing? What are the Academic Insights? By studying a data set including 23 countries and over a long time frame (1926 for