This is a summary of links featured on Quantocracy on Saturday, 06/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Future for Factor Investing May Be Different Than its Backtested Past [Alpha Architect]We believe there are cause and effect relationships in the world and in investing that hold true over time. Many are common sense and easily observable like fire creates smoke while others are harder to see and understand. With factor investing, true relationships can be hard to see because of randomness and noise in data, and theres a risk we convince ourselves certain
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FX carry strategies (part 1) [SR SV]FX forward-implied carry is a valid basis for investment strategies because it is related to policy subsidies and risk premia. However, it also contains misdirection such as rational expectations of currency depreciation. To increase the signal-noise ratio FX carry should at the very least be adjusted for expected inflation differentials and external deficits. Even with such plausible