This is a summary of links featured on Quantocracy on Thursday, 05/06/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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U.K. Value Factor – The 200+ Year View [Two Centuries Investments]One year ago, I wrote about the U.S. Value factor and what I found by extending its history back in time before 1926. In summary, I wrote that Values drawdown in March 2020 was normal and likely close to its bottom. Without the insights from the extended history, Value had appeared dead given it had crossed the previous all-time maximum drawdown. As far as factor timing goes, I was close
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Text-Based Factor Investing [Alpha Architect]This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of Sparkline Capital. The Factor Zoo As readers of Alpha Architects blog, youre certainly familiar with factor investing. Factors are quantifiable firm characteristics that explain cross-sectional stock returns. While some factors merely explain risk (e.g., industry), others are also associated with positive