This is a summary of links featured on Quantocracy on Monday, 01/04/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Olympics 2020 [Factor Research]Momentum has been the clear winner across markets in 2020 Value has been the laggard like in recent years Low Volatility ended a 10-year fantastic run 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 supports the existence of positive excess returns across market cycles and asset classes.