This is a summary of links featured on Quantocracy on Tuesday, 03/14/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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They Can’t All Be That Smart [Investing Research]Smart Beta is a label applied broadly to all factor-based investment strategies. In a recent WSJ article on Smart Beta, Yves Choueifaty, the CEO of Tobam, said There's a huge range of possibilities in the smart-beta world, and they can't all be that smart. This paper separates the factor investing landscape, gives a to framework to analyze the edge of various approaches and lets you
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Dual Momentum with Stock Selection [Alpha Architect]Gary Antonacci may not be happy to learn that his "Dual Momentum" label has been pirated by a team of academics (Huang, Zhang, and Zhou)(1)(2) in a new paper that explores the combination of price and fundamental momentum stock-picking strategies. The authors also investigate the common rebuttal that transaction costs destroy stock momentum strategies. The authors perform a variety of