This is a summary of links featured on Quantocracy on Tuesday, 06/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Time Series Momentum: Theory and Evidence [Alpha Architect]The profitability of trend-following strategies has been documented in a large number of empirical studies. The majority of these empirical studies find that these strategies are profitable in the long-run over periods ranging from 50 to 150 years. However, two issues of concern arise regarding the empirical performance of trend-following strategies. The first issue is that the researchers