This is a summary of links featured on Quantocracy on Wednesday, 06/10/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using Profitability as a Factor? Perhaps You Should Think Twice… [Alpha Architect]Many investors are getting excited about the so-called profitability factor, originally posed by Novy-Marx (here is an alternative story) . Larry Swedroe has a high-level piece advocating the concept here. The basic idea is simple: Other things being equal, firms with high gross profits (revenue costs) have earned higher expected returns than firms with low gross profit
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PCA & Momentum [John Orford]Check out the first and second posts in this series to get up to speed. This is a picture of AAPL's monthly returns over the last 3 years. It shows ever so slightly more momentum than mean reversion as the ellipse is pointing up right. In contrast to the previous equity and Vix pictures the plotted data is pretty centred. I would bet that AAPL has
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New related paper to #21 – Momentum Effect in Commodities and #22 – Term Structure Effect in Commodities [Quantpedia]#21 – Momentum Effect in Commodities #22 – Term Structure Effect in Commodities Authors: Benham, Walsh, Obregon Title: Evaluating Commodity Exposure Opportunities Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2602885 Abstract: Commodities as an asset class have been in growing demand over the last 40 years