This is a summary of links featured on Quantocracy on Monday, 06/07/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Optimising my way out of a small fund problem – part one [Investment Idiocy]This is part one of a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital. In this short post I present the idea, and discuss some issues that I need to resolve. It's a bit of a stream of conciousness! It's less of a blog post, and more my random jottings on the subject converted from scribbles to electronic prose.
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Still Using Book to Market for a Value Metric? Read This. [Alpha Architect]Book to Market (B/M) has been a prominent indicator used to construct "value" tilted portfolios. The love affair with B/M started with Graham and Dodd (1934), but became the gold standard after Fama and French (1992). Historically, B/M was a reasonable ratio to express the value factor and it worked incredibly well when investors were hunting for value in steel mills, railroads, and
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Liquid Alt Juggernauts: Worth their Salt? [Factor Research]Liquid alternative mutual funds only captured 10% of the market share from hedge funds The alpha generated since 2013 was essentially zero Long-short equity funds can be replicated simply via market beta + cash INTRODUCTION One of the most perplexing questions in the investment industry is why liquid alternatives have not been able to disrupt the hedge fund industry in the same way as ETFs have