This is a summary of links featured on Quantocracy on Tuesday, 08/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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100-Years of the United States Dollar Factor [Quantpedia]Finding high-quality data with a long history can be challenging. We have already examined How To Extend Historical Daily Bond Data To 100 years, How To Extend Daily Commodities Data To 100 years, and How To Build a Multi-Asset Trend-Following Strategy With a 100-year Daily History. Following the theme of our previous articles, we decided to extend historical data of a new factor, the Dollar
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Outperformance Ain t Alpha [Factor Research]Outperformance and alpha are not the same One is the difference from a benchmark, the other is the unexplained return A contribution analysis helps understanding the return drivers INTRODUCTION Almost 90% of US drivers rate themselves safer and more skillful than average. Obviously, such perceptions do not reflect reality. After all, nine out of 10 people cant all be above average.