This is a summary of links featured on Quantocracy on Friday, 09/23/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Analyzing Risk-Managed Funds With R [Capital Spectator]Morningstar tells us that efforts at taming volatility in a multi-asset class framework generally turns up mixed results among publicly traded funds. Studying 60 products that are labeled multiasset volatility-protection funds, a recent Morningstar article reports that as a group, volatility-protection funds do generally offer refuge when equity markets turn negative. But its
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Is Momentum Really Dead? [Larry Swedroe]Earlier this week, we examined a study that sought to determine whether the publication of academics findings on the momentum factor have led to a disappearing premium. To review, Steven Dolvin and Bryan Foltice, authors of the 2016 study Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market, found that in two overlapping subperiods from their sample (both ended