This is a summary of links featured on Quantocracy on Monday, 01/14/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Fragility Case Study: Dual Momentum GEM [Flirting with Models]Recent market volatility has caused many tactical models to make sudden and significant changes in their allocation profiles. Periods such as Q4 2018 highlight model specification risk: the sensitivity of a strategys performance to specific implementation decisions. We explore this idea with a case study, using the popular Dual Momentum GEM strategy and a variety of lookback horizons for
ESG Investing: Too Good To Be True? [Factor Research]ESG factors generated positive excess returns since 2009 Show positive exposure to Low Volatility & Quality and negative exposure to Value & Size Factor exposure is likely structural and not temporary INTRODUCTION BlackRock is aggressively launching products with high environmental, social, and governance (ESG) ratings. The firms CEO, Larry Fink, recently predicted that assets under