This is a summary of links featured on Quantocracy on Monday, 02/01/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
The three oenophiles [Flirting with Models]Summary Most investment strategies can be broken down into the risk premia they wish to harvest, whether it is vanilla like the equity risk premium or more exotic, like the value premium. Different risk premia mature at different rates. Value can take years to mature while momentum can take only a few weeks. Aligning your approach to rebalancing with how long you expect the premium to take to