This is a summary of links featured on Quantocracy on Monday, 06/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Factors & Financial Planning [Flirting with Models]In asset management research, we often assume an investor has an infinite horizon, no spending requirements, and no tax consequences. While this may be appropriate for some institutions, it is rarely appropriate for individual investors, leaving financial advisors to fill the gaps. Many factor (smart-beta) products focus on their potential for excess (risk-adjusted) returns. The return is
Academic Research Insight: Factors and the Road to Retirement [Alpha Architect]Title: A WEALTH MANAGEMENT PERSPECTIVE ON FACTOR PREMIA AND THE VALUE OF DOWNSIDE PROTECTION Authors: LOUIS SCOTT AND STEFANO CAVAGLIA Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, SPRING 2017 (version here) What are the research questions? The article links two current hot topics: goal based investing and factor premia. Can factor premia (value, size, momentum and quality) help the aspiring