This is a summary of links featured on Quantocracy on Tuesday, 02/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Should Factor Investors Neutralize the Sector Exposure? [Quantpedia]Factor investors face numerous choices that do not end even after picking the set of factors. For instance, should they neutralize the factor exposure? If the investor pursues sector neutralization, does the decision depend on a particular factor? Or are the choices different for the long-only investor compared to the long-short investor? The research paper by Ehsani, Harvey, and Li (2021) answers
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The Fed Put is Alive and Well [Alpha Architect]The question of whether or not the FED considers or responds to the stock market in its policy decisions has been studied fairly extensively, however, the subject of the existence of the FED put continues to pop up in the literature. In this particular revival of the issue, the authors are among the first to study FOMC minutes, transcripts, and other sources of information using textual
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Smart Money, Crowd Intelligence, and AI [Factor Research]Smart money, crowd intelligence, and AI ETFs have underperformed the S&P 500 since their inception Somewhat surprisingly, all three have almost the same factor exposures Negative exposure to value, and positive exposure to size and momentum factors INTRODUCTION Welcome to the qualifying round of the 2022 US Investment Olympics. The goal of the games is simple: beat the S&P 500, either by