This is a summary of links featured on Quantocracy on Wednesday, 02/19/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Investing Update: An Analysis of 2019 International Factor Returns [Alpha Architect]Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the followingwhat about International stocks? A great question. So below I dig into the 2019 performance for International Factor Portfolios. 1 Lets dig into the results. Factor Investing Data and Results One needs to start with a universe. I defined the universe as the top 1,500 stocks
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Factor Exposure: The Turn of The Screw [Quant Dare]You may have seen in different papers or websites, analysis of how a specific active portfolio is exposed to different financial factors (Value, Growth, Size, Quality, etc). This insight is very interesting in order to know what to expect from a strategy and to explain and understand its behaviour, compared with a benchmark (which defines the field of play). The analysis could be done by several