This is a summary of links featured on Quantocracy on Friday, 01/03/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is Active Investing Doomed as a Negative Sum Game? A Critical Review [Alpha Architect]In an influential piece, Sharpe (1991) 1 put forward the proposition that active investing must be a losing pursuit in aggregate, as it amounts to a zero-sum game in gross terms and hence must be a negative-sum game after costs. I take a critical look at the underlying concepts and assumptions behind Sharpes proposition and link it to the issue of whether it is worthwhile for investors to
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Factor Olympics 2019 [Factor Research]As in 2018, Low Volatility produced the best and Value the worst performance Value did not recover significantly further after a short rally in Q3 2019 However, Momentum broke its upward trajectory since then INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where academic research highlights positive excess returns