This is a summary of links featured on Quantocracy on Friday, 06/19/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Daily Academic Alpha: Corporate Loan Momentum Alpha [Alpha Architect]The Cross-Section of Expected Returns in the Secondary Corporate Loan Market We examine the pricing of characteristics and betas in the cross-section of expected corporate loan returns. Expected loan returns decrease with default beta. Default beta contains information not captured by rating or spread-to-maturity. A three-month formation momentum strategy earns a monthl
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Backtesting Methodology Problems [John Orford]How many times have you bought a bottle of milk? And how many times have you bought a house? Which are you more comfortable with? It's no surprise that we make better repeated small decisions than the once in a lifetime big choices. When short horizon strategies make mistakes they dust themselves off and jump back into the market the next day.