This is a summary of links featured on Quantocracy on Friday, 06/16/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Long-Only Value Investing: Size Doesn’t Matter! [Alpha Architect]Many factor investors are familiar with small-cap value investing, which is a reasonable allocation for long-term investors who can tolerate a lot of volatility. Why are there so many small-cap value investors? Small-cap value investors have been told that the value premium is higher, on average, in small stocks versus larger stocks. Unfortunately, this is not true if you are a long-only
-
Exploratory Data Analysis of Fundamental Factors [Quant Rocket]When researching fundamental factors, analyzing alpha shouldn't be your first step. You can save time and spot issues early by starting with a basic exploration of your factor's distribution and statistical properties, a process known as exploratory data analysis (EDA). This post looks at operating margin, a profitability ratio, to demonstrate what you can learn from exploratory data
-
Linking Impact in Divergence Attribution II [Quant Dare]In my post Linking Impact in Divergence Attribution I explained the need to use linking algorithms in order to aggregate single-period returns. I ended my exposition by setting out the formula for adjusted returns using Andrew Frongellos algorithms (arguably the ones with best qualities in the industry). If you found this final expression of Frongello-adjusted attribution factors quite nasty,