This is a summary of links featured on Quantocracy on Wednesday, 02/22/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Zoo or Unicorn Ranch? [Dual Momentum]According to Morningstar, as of June 2016, the assets in smart beta exchange traded products totaled $490 billion. BlackRock forecasts smart beta using size, value, quality, momentum, and low-volatility will reach $1 trillion by 2020 and $2.4 trillion by 2025. This annual growth rate of 19% is double the growth rate of the entire ETF market. Are factors the cure-all for our investment needs? Or
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Explaining the Low Risk Effect with @LarrySwedroe [Alpha Architect]As my co-author, Andrew Berkin, and I(1) explain in our new book, Your Complete Guide to Factor-Based Investing,(2) one of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the actual relation to be flat, or even negative. Over the last 50
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Country ETF Rotation Reader s Suggestions [Alvarez Quant Trading]My last post on Country ETF Rotation generated several ideas of what to test to improve the results. See the original post for the list ETFs being traded. One important test I left out from the original post was a baseline case. An idea applied to all the tests was trading more ETFS. For all tests, I will be showing results of trading (2,5,8) ETFs in the spreadsheet. Testing is from 1/1/2007 to