This is a summary of links featured on Quantocracy on Friday, 06/12/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Monster Factor Correlation Chart [Alpha Architect]We recently added a monster correlation matrix to our factor library data sheet that maps out the correlation of all the factors against every other factor. Here is a sample output that highlights the difference in the correlations between value factors and different quality factors. Note the big difference between book to market, which has a negative correlation to quality, and the other metrics
Research Review | 12 June 2020 | Forecasting [Capital Spectator]Breaking Bad Trends Ashish Garg (Research Affiliates), et al. May 7, 2020 We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard trend-following strategies across several assets and asset classes. The frequency of trend breaks has increased in recent years, which can help explain the lower performance of