This is a summary of links featured on Quantocracy on Tuesday, 01/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Definitive Study on Long-Term Factor Investing Returns [Alpha Architect]Interest in factor investing was hot several years back but seems to have died on the back of poor relative performance and a move to hotter products in thematics and ESG. But, for better or worse, we havent moved on. We are boring and we trust the process. We still believe that markets do a decent job at pricing risks and rewards, but they arent perfect. There is a bunch of noise caused by
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How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error? [Alpha Architect]Although the ETF market has grown exponentially over the recent 20 years, ETFs that are less popular are not always liquid. A majority of the dollars flowing into ETFs are concentrated in 3 products, accounting for 46.7% of total ETF trading volume (see Figure 3 below). If the next 8 ETFs are included that percentage increases to 61.5%. If that doesnt astound the reader, consider that the AUM$