This is a summary of links featured on Quantocracy on Thursday, 05/05/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using Momentum to Find Value [Alpha Architect]Value and momentum are two of the most powerful explanatory factors in finance. Research on both has been published for over 30 years(1). However, it was not until recently that the two had been studied in combination and across markets. Bijon Pani and Frank Fabozzi contribute to the literature with their study Finding Value Using Momentum, published in The Journal of Portfolio Management
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Achieving a well-diversified portfolio based on Graph Theory [Quant Dare]Graph Theory is widely used in almost every area of interest for visualization or analysis purposes but, for some reason, it is not usually applied in finance. Why not trying to take advantage of its potential in portfolio management? Introduction Current uncertainty is causing very pronounced movements in financial markets, so having a well-diversified portfolio is now more important than ever.
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The Future of Factor Investing [Alpha Architect]In this article, the authors expound on the importance of the factor revolution in finance. Factor investing has moved from a bedrock position to a future of innovation and disruption. With respect to factors the authors discuss where we have been and what can we look forward to. What are the Academic Insights? At the most basic level, factors have been at the center of modern portfolio