This is a summary of links featured on Quantocracy on Monday, 07/11/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Has Momentum Lost Its Momentum? [Quantpedia]We evaluate the robustness of momentum returns in the US stock market over the period 1965 to 2012. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 14 years. Investigations of momentum profits in high and low volatility months address the concerns about unprecedented levels of
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Multi-Factor: Mix or Integrate? [Flirting with Models]Recently a paper was published by AQR where the authors advocate for an integrated approach to multi-factor portfolios, preferring securities that exhibit strong characteristics across all desired factors instead of a mixed approach, where securities are selected based upon extreme exposure to a single characteristic. We believe the integrated approach fails to acknowledge the impact of the
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Interview With Artur Sepp [Factor Wave]Artur Sepp is a rare example of a quant who combines excellent technical skill with a practical understanding of markets. If you can't learn from his presentations the fault is more likely to be yours rather than his. He recently agreed to do an interview for us. Here is the first part. Q: What is your educational background? A: My educational background is a bit unusual. I have a PhD in
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An Extremely Quick Move From A 50-Day Low To A 50-Day High [Quantifiable Edges]Remarkable about Fridays 50-day high close is that it came just 8 trading days after SPX closed at a 50-day low. Thats quite rare to see. The study below is from this weekends Quantifiable Edges Subscriber Letter. It looks at all the instances since 1950 of a move from a 50-day closing low to a 50-day closing high that have occurred within 2 weeks.