This is a summary of links featured on Quantocracy on Monday, 04/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Systematic Investment Strategies are Hot. But What Happens Next? [Alpha Architect]How will systematic (coordinated) investing affect prices? What is the risk of increasingly coordinated holdings (crowding)? How does coordinated investing affect market microstructure and optimal execution? Is factor timing possible? What are the issues in the design of factor-based strategies? What is the role of data science and machine learning? What are the Academic Insights? The author
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Common Misconceptions About Momentum [Dual Momentum]Momentum is one of the most researched topic in financial market literature. A search of the SSRN database on momentum will turn up around 1000 papers written over the past three years and 3000 papers in total. With so much information available, it should not be surprising that many analysts have missed seeing some of the research. Based on the way momentum is used by practitioners, it is clear
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Smart Beta or Smart Marketing? [Factor Research]Smart beta ETF investors seem to ignore empirical evidence Excess returns from smart beta are substantially different from factor returns Smart beta ETFs offer little diversification for an equity-centric portfolio INTRODUCTION Assets under management in smart beta products surpassed $1 trillion in 2017, according to Morningstar. That was three years earlier than predicted by BlackRock, the single
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Failing Slow, Failing Fast, and Failing Very Fast [Flirting with Models]For most investors, long-term failure means not meeting ones financial objectives. In the portfolio management context, failure comes in two flavors. Slow failure results from taking too little risk, while fast failure results from taking too much risk. In his book, Red Blooded Risk, Aaron Brown summed up this idea nicely: Taking less risk than is optimal is not safer; it