This is a summary of links featured on Quantocracy on Monday, 05/07/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Leverage and Trend Following [Flirting with Models]We typically discuss trend following in the context of risk management for investors looking to diversify their diversifiers. While we believe that trend following is most appropriate for investors concerned about sequence risk, levered trend following may have use for investors pursuing growth. In a simple back-test, a nave levered trend following considerable increases annualized returns and
Value Factor – Comparing Valuation Metrics [Factor Research]This research note was originally published at Alpha Architect. INTRODUCTION Mirror, mirror, on the wall which is the fairest of them all? Recent commentary (to include a recent Barrons article) seems to suggest that value is dead and may never come back. Of course, most of these comments revolve around the price-to-book valuation metric, which, as the Barrons article points out, might