This is a summary of links featured on Quantocracy on Thursday, 06/11/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
5 Surprising Things We Learned from a Factor Investing Expert [Alpha Architect]Lu Zhang and his colleagues made some waves with their new paper, Replicating Anomalies. (now published in the RFS congrats!). We have a summary of the paper here. Lu Zhang, and his colleagues, Kewei Hou and Chen Xue, spent nearly 3 years carefully compiling and replicating 447 anomalies identified in the academic literature. The paper is so dense Ryan even created a blog post that
-
How to extend ETF prices with mutual fund data using SQL [Robot Wealth]On Zero to Robot Master Bootcamp, we teach how to build a portfolio of three automated systematic trading strategies. One of them is a long term Risk Premia Harvesting strategy which trades asset class ETFs. ETFs are useful instruments for analysing long term (tradeable) performance of various asset classes but many have been introduced only relatively recently and have limited data available.
-
Counterpoint: ETF Activity May Make the Stock Market MORE Efficient [Alpha Architect]The Securities and Exchange Commission (SEC) has called for more research and discussion on the impacts of ETFs. In a previous post, we covered why ETFs have not screwed up correlations, liquidity, and alpha opportunities. However, here is another post from Wes that outlines arguments that ETFs may screw up stock market efficiency. In short, how ETFs affect stock market efficiency is an ongoing