This is a summary of links featured on Quantocracy on Monday, 03/21/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Best Links of the Last Two Weeks [Quantocracy]The best quant mashup links for the two weeks ending Saturday, 03/19 as voted by our readers: How to Learn Advanced Mathematics Without Heading to University – Part 1 [Quant Start] When Measures Become Targets: How Index Investing Changes Indexes [Investor's Field Guide] Meet the DIY Quants Who Ditched Wall Street for the Desert (h/t Abnormal Returns) Evolving Neural Networks through
Beware bad multi-factor products [Flirting with Models]This post is available as a PDF here. Summary Multi-factor portfolios are a great way to diversify across multiple factors that can potentially create excess risk-adjusted returns while simultaneously smoothing out relative performance volatility. There are two ways we've seen manufacturers build multi-factor portfolios: (1) combining independent portfolios of factors, or (2) picking stocks
When Trading Detracts From Alpha [Larry Swedroe]As explained in my latest book, The Incredible Shrinking Alpha, which I co-authored with Andrew Berkin, accompanying the rapid growth of the actively managed mutual fund industry, the average performance of mutual funds has been trending downward over the past few decades. Teodor Dyakov, Hao Jiang and Marno Verbeekauthors of the study The Trading Performance of Active Mutual Funds,