This is a summary of links featured on Quantocracy on Wednesday, 07/15/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Paper from Markowitz: Introducing the Gerber Statistic [Flirting with Models]Harry Markowitz, father of modern portfolio theory, has a new paper out with Sander Gerber and Punit Pujara titled Enhancing multi-asset portfolio construction under Modern Portfolio Theory with a robust co-movement measure. You can download it here. The big take away is the introduction of a new co-movement measure called the Gerber Statistic, which is designed to be more
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Daily Academic Alpha: Fresh Evidence on the Fama French 5-Factor Model [Alpha Architect]The past few weeks weve highlighted a set of research papers that go back and forth on the validity of the Fama and French 5-factor model. A sampling of the research: The Fama French 5-Factor Paper The Kewei, Xue, and Zhang (KXZ) 4-Factor Paper (critically assesses the FF 5-factor model) Cakici investigates the FF 5-Factor Internation
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A New Factor: Illiquidity [Factor Wave]Value, size and low volatility "anomalies" have been studied for decades. Momentum has only been recently recognized by academics but a lot of practitioners have been firm believers in it for many years. Quality is the most recent of the well accepted factors but the components that go into its calculation are well accepted measures of what makes a business good. But we, and a large gro
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A Diverse Momentum System Using Vanguard Allocation Funds [Scott’s Investments]One of the criticisms of momentum systems is they are prone to crashes when momentum reverts. The system highlighted in this article can be implemented using any number of life style or target-risk funds or ETFs. The system chooses from a small number of funds that reflect a range of asset allocation models. The purpose is to employ a diverse, momentum-based asset allocation system.