This is a summary of links featured on Quantocracy on Sunday, 01/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Portfolio starter kit [OSM]Say youve built a little nest egg thanks to some discipline and frugality. And now you realize that you should probably invest that money so that youve got something to live off of in retirement. Or perhaps you simply want to earn a better return than stashing your cash underneath your bed, I mean your savings account. How do you choose the assets? What amount of money should you put into
How to Turn Cross-Sectional into Time-Series Momentum [Alpha Architect]A point of confusion for many new quant momentum investors is the difference between Time- Series Momentum and Cross-Sectional Momentum: Time-series (TS) looks at each individual stocks momentum and owns assets with positive momentum while shorting those with negative momentum; Cross-sectional (CS) observes a universe of stocks and chooses those with the best momentum relative to the universe
The q-factor model for equity returns [SR SV]Investment-based capital asset pricing looks at equity returns from the angle of issuers, rather than investors. It is based on the cost of capital and the net present value rule of corporate finance. The q-factor model is an implementation of investment capital asset pricing that explains many empirical features of relative equity returns. In particular, the model proposes that the following