This is a summary of links featured on Quantocracy on Saturday, 05/13/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Clustering trading rule p&l [Investment Idiocy]I recently upgraded my live production system to include all the extra instruments I've added on recently. I also did a little consolidation of trading rules, simplifying things slightly by removing some rules that didn't really have much allocation, and adding a couple from my new book. As usual I set the instrument weights and forecast weights using my handcrafting methodology, which
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Pursuing Factor Premiums at the Industry and Country Level [Alpha Architect]Given the strong empirical evidence demonstrating the persistence, pervasiveness, robustness, and implementability of premiums for the factors of size, value, momentum, and profitability in the cross-section of returns, investors may be tempted to gain exposure to those factors across industries and countries. Intuitively, some industries and countries may appear smaller, of deeper value, or more