This is a summary of links featured on Quantocracy on Tuesday, 04/23/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replicating Famous Hedge Funds [Factor Research]Diverse hedge fund strategies can be replicated via factor-mimicking portfolios The analysis highlights that most returns are explained by factors, not alpha However, hedge funds can create value by harvesting factor returns efficiently via portfolio construction INTRODUCTION In 1973, the U.S. Food and Drug Administration (FDA) published the first regulations that required the nutrition labeling
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The Recent $RUT / $SPX Divergence And Why It Might Be Bullish [Quantifiable Edges]One aspect of recent market action that is interesting is the weakness in the Russell vs the SPX over the last few days. While some may worry the divergence is concerning, an old Quantifinder study that appeared last night indicates the setup is likely suggestive of an upside edge. It looked at times the RUT closed down 3 or more days in a row and the SPX closed at a 3-day high. 2019-04-23-1 As