This is a summary of links featured on Quantocracy on Tuesday, 11/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Factor Investing and Trading Costs [Alpha Architect]Factor investing, and the associated intellectual battles, have raged for decades in academic finance journals. However, now that factor investing has gone mainstream via ETFs, the debate has broader interest among the investing public. Some investors question the very existence of factor premiums. We are sympathetic to this viewpoint given the noise around poor factor replication and the
SPY s 2-Day Pattern Suggesting A Bullish Tendency For Tuesday [Quantifiable Edges]SPY gapped up and closed lower Monday after leaving an unfilled up gap on Friday. This triggered the study below that examined similar price action in SPY with regards to how it gapped and finished
More About Meta: The Best Asset Allocation Strategies Over Time [Allocate Smartly]Last month we launched Meta Strategy, our own smart approach to combining the 40+ tactical asset allocation strategies tracked on our site. Each month, Meta selects 10 strategies and then trades their combined asset allocation. Members can follow Meta in near-real time. Each months 10 strategies are selected based on a number of factors (read more), including how well each strategy plays with