This is a summary of links featured on Quantocracy on Monday, 04/17/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
A Simulation-Based Rebuttal to Research Affiliates (@RA_Insights) [Flirting with Models]Research Affiliates published a new piece of research exploring mutual fund returns over the last 25 years and the implied ability for managers to capture popular factor premiums published by the academic community. They argue that several factors accepted in academia may not be implementable after real life frictions (e.g. transaction costs, cost of shorting, missed trades, et cetera). Their
Swedroe Spotlight: Does Market Sentiment Help Explain Momentum? [Alpha Architect]Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark Carhart, in his study On Persistence in Mutual Fund Performance, was the first academic to use momentum, together with the three Fama-French factors (market beta, size and value), to explain mutual fund