This is a summary of links featured on Quantocracy on Sunday, 01/14/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Factor Investing: Gross to Net Returns [Factor Research]Long-short multi-factor portfolios generate attractive returns before fees Returns are much less attractive post fees charged historically However, some fees in the long-short space are likely justified given higher complexity INTRODUCTION Reality is the murder of a beautiful theory by a gang of ugly facts (Robert Glass, 2002). Factor investing can be considered one of the beautiful theories of