This is a summary of links featured on Quantocracy on Wednesday, 05/17/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Reducing the Impact of Negative Momentum Performance [Alpha Architect]Momentum crashes are a blight on the performance of momentum strategies. Although there has been a fair amount of research on the topic, few practical solutions have emerged to mitigate the impact on portfolios. In this study, the authors document the outperformance of momentum stocks, made somewhat immune to momentum crashes , by including stocks far away from their peak position relative
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Emerging Market Funds: Same, Same, but Different? [Finominal]Emerging markets offer divergent factor exposures across and within regions Smart beta ETFs do not necessarily offer high factor exposures It is all about fund selection INTRODUCTION We highlighted previously that the case for exposure to emerging markets (EM) stocks is not as clear as frequently highlighted by the marketing materials of asset managers (read The Case Against EM Equities).