This is a summary of links featured on Quantocracy on Monday, 04/26/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Factor Investing: The Truth Has Many Shades [Factor Research]The data from Professor French has laid the foundation for factor investing However, over time factor portfolio construction grew complex and with many nuances Returns may look more or less attractive, which makes a weak foundation INTRODUCTION When I was growing up one of my favourite TV shows was The X-Files, which followed the lives of FBI Special Agents Fox Mulder (David Duchovny) and Dana
-
Top rated contributor @Robot_Wealth teaches you how to trade part-time like a quant. Enroll til Friday.How do you make money trading in the highest probability, most effective way? Most trading advice does not address this question seriously enough. Either it smothers you in meaningless platitudes (don't fight the trend, don't risk more than 2% of your account on any trade), or it misses the mark in the other direction – being something that only a full-time professional trader and coding
-
Building a Zipline bundle for Yahoo CSV files [Quant Insti]Zipline is a fantastic tool for backtesting and data is the main raw material for doing this kind of analysis. In this post, we are going to focus on how to load our own data files. Through an example, we will create a bundle to load data from csv files downloaded from Yahoo finance.
-
Building a Better q-Factor Asset Pricing Model [Alpha Architect]Since the development of the first asset pricing model, the Capital Asset Pricing Model (CAPM), academic research has attempted to develop models that increase the explanatory power of the cross-section of stock returns. We moved from the single-factor CAPM (market beta), to the three-factor Fama-French model (adding size and value), to the Carhart four-factor model (adding momentum), to Hou, Xue,