This is a summary of links featured on Quantocracy on Monday, 02/28/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum in Emerging Markets [Factor Research]Long-short momentum investing highlights attractive performance in Asia and emerging markets However, realized excess returns are significantly lower than theoretical ones Likely explained by transaction costs INTRODUCTION Momentum has been shown to generate attractive excess returns across eight different markets and asset classes by AQR, a quantitative asset manager. Christopher Geczy and
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Follow The Leader To Make Money In Stocks [Decoding Markets]Theres a reason that international traders, whether theyre in Tokyo, Singapore, or London, follow the US markets. The US is the hub of global finance. Its on Wall Street where everything is happening. Watching the reaction of European markets to the opening of US markets demonstrates this. When the US market bell rings, theres a spike in volume (and volatility) across European assets.