This is a summary of links featured on Quantocracy on Friday, 02/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Autocorrelation of SPY, and the Redneck Correlogram [Throwing Good Money]Ive been reading books by Michael Halls-Moore and my head hurts. Not having any formal training in statistics, I only understand about half of the material. None the less, I found his discussion of correlograms interesting. I even installed R on my computer (even though I havent fully grasped Python yet!) and was able to make some correlograms with R. However not knowing anything about
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Loosening Short Sale Constraints Makes Markets More Efficient [Alpha Architect]We examine the causal effect of limits to arbitrage on ten well-known asset pricing anomalies using Regulation SHO, which reduced the cost of short selling for a random set of pilot stocks, as a natural experiment. We find that the anomalies become substantially weaker on portfolios constructed with pilot stocks during the pilot period. Regulation SHO reduces the anomaly long-short portfolio
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When Risk Doesn t Lead To Return [Larry Swedroe]Among the more notable anomalies in modern finance is the finding that the lowest-beta stocks have produced higher returns than the highest-beta stocks. Another anomaly is that idiosyncratic (diversifiable) volatility negatively predicts equity returns. In other words, stocks with the lowest idiosyncratic volatility outperform stocks with the highest idiosyncratic volatility. These findings have
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Replicating Private Equity [Quantpedia]Private equity funds tend to select relatively small firms with low EBITDA multiples. Publicly traded equities with these characteristics have high risk-adjusted returns after controlling for common factors typically associated with value stocks. Hold-to-maturity accounting of portfolio net asset value eliminates the majority of measured risk. A passive portfolio of small, low EBITDA multiple