This is a summary of links featured on Quantocracy on Wednesday, 06/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Performing Value Strategies – Part 2 [Quantpedia]Value trading strategies have come back into spotlight in recent years. After lackluster performance in years 2018, 2019, 2020, Value has staged a strong comeback in 2021 and also in 2022. With a long history of systematic equity Value strategies, many different variants of the strategy have emerged. In the first part of this article, we picked 16 US equity value trading strategies out of
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Visualizing the Robustness of the US Equity ETF Market [Alpha Architect]Market commentators sometimes suggest that the equity ETF market is just a bunch of index funds that all do essentially the same thing: deliver undifferentiated stock market exposure. How true is that statement? Fortunately, we can test the hypothesis that the ETF market is roughly a few thousand different ways to capture the same basic risk/returns. To do so, we leverage our Portfolio