This is a summary of links featured on Quantocracy on Monday, 01/13/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Beware Strategies That Fall Down on Good Data [Allocate Smartly]Sources of long-term historical data are few and far between. Because its been generously provided for free, one of the most often used is data from Professor French (of Fama-French fame). Others include Shiller and Ibbotson. These data sets are fine for a first pass at testing out ideas, but they often dont remotely match up to something that can actually be traded in todays market.
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How Expensive Are ESG Stocks? [Factor Research]Highly ranked ESG stocks trade at higher valuation multiples than the stock market However, the difference in multiples is minor and far less than extreme than for Growth stocks ESG ETFs generated lower returns than the stock market, but were also less volatile INTRODUCTION Europeans seem far more focused on the environment than Americans, which might be considered unusual given that both share an
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Principal Component Analysis in Trading [Quant Insti]As trading becomes automated, we have seen that traders seek to use as much data as they can for their analyses. But we all know that adding more variables leads to more complications and that in turn might make it harder to come to solid conclusions. Think about it, we have more than 3000 companies in the New York Stock Exchange. A simple exercise to find pairs between them will be really