This is a summary of links featured on Quantocracy on Saturday, 05/09/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quant Geek Weekend Homework: Academic Finance Research [Alpha Architect]The Five-Factor Fama-French Model: International Evidence (Nusret Cakici) Doubt on Five-Factor Fama-French Model: Is it Just in Essence a Noise? (Hou, Xue and Zhang) Stocks with Negative Analyst Forecast Skewness tend to be undervalued? (Cai Zhu) Covering-Up When the Tide Goes Out? Momentum Seasonality and Investor Preferences (Barradale) Industry Herding and Mom
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Real Momentum: A Longer-Term Backtest [CSS Analytics]In the last post I introduced the concept of real momentum which is a trend following signal based on real returns. In the post I used both expected inflation and risk-free returns to net out from the S&P500 to create a real excess return. This was done to make the hurdle for buy positions higher than the standard method. Several comments from readers indicated that this isdouble-cou
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Steady Volatility Strategy [John Orford]The art and skulduggery of finance is infused with uncertainty. So, how about we try to smooth volatility a little and see the consequences? The VIX predicts the volatility of the S&P 500 for the next thirty days. Our Steady Vol strategy takes the inverse of the current VIX and weighs our holding in the S&P 500 accordingly. If predicti