This is a summary of links featured on Quantocracy on Tuesday, 08/14/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
A Factor-Based Approach to Disruptor-Based Sectors [Flirting with Models]As more thematic products come to the market, it can be difficult for investors to decide how to allocate to them, even if they believe in their future potential. The sector disruptors are a suite of products that focus on areas of the economy that are heavily influenced by new technologies. Taking a factor-based approach using, for example, low volatility and momentum has the potential to boost
The Best Research Paper Ever Written on Trading Costs [Alpha Architect]Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a quant these days, slinging money around like drunken pirates, destroying the price discovery process along the way. A popular narrative is the following: There is too much capital chasing