This is a summary of links featured on Quantocracy on Thursday, 05/07/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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When endogenous risk management isn’t enough: a simple risk overlay [Investment Idiocy]"How does your risk management work?" … is a question I'm frequently asked. In fact this is actually a difficult question, if you were to look at my open source python backtesting project pysystemtrade, you would struggle to point at a piece of code and say "Behold! Right there, that's the risk management part alright!". The reason is that the risk management in my
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Backtesting ESG Factor Investing Strategies [Quantpedia]Socially Responsible Investing (also called ESG Factor Investing) grows in popularity. More and more investors enter the stock market not just to invest their savings, but they are also want to support companies that bring positive social or environmental change. ESG factor investing can bring satisfaction to those investors. But does it also brings a real outperformance in a financial sense? Is
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The Size Effect in Multifactor Portfolios [Alpha Architect]The lack of a statistically significant size premium in the U.S. since the publication of Rolf Banzs 1981 paper, The Relationship Between Return and Market Value of Common Stocks, published in the Journal of Financial Economics, led many investors to question its use in building portfolios. This conclusion is typically arrived at by considering the standalone performance of the size