This is a summary of links featured on Quantocracy on Tuesday, 05/25/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Value and Momentum Investing: Combine or Separate? [Alpha Architect]When it comes to Value and Momentum investing we often get asked the following set of questions: Should I use value and momentum, in one screen, to form a single portfolio of stocks? ("Blended", "combined", or "integrated") Or should I focus on the value and momentum factor separately, and then combine the factor portfolios? ("Pure", "Separated",
Estimating Fair Value For The 10-Year Treasury Yield, Part II [Capital Spectator]Earlier this month, I reviewed a model that estimates a theoretical level for the worlds most-important interest rate: the 10-year Treasury yield. In todays follow-up, lets consider a second model for additional context. The goal in this series is to select several models with an eye on combining the estimates. A long line of literature demonstrates, rather convincingly, that one of the
Portfolio Construction in Venture Capital [Factor Research]A few winners generate most of the venture capital returns Given this asymmetrical return distribution, portfolios should be constructed equally Missing the winners is simply too risky INTRODUCTION 2020 turned out to be a record year for the venture capital industry, despite the global pandemic. More than 12,000 investments were made into early to late-stage start-ups at a combined value of $166