This is a summary of links featured on Quantocracy on Wednesday, 08/17/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Risk Parity isn’t the Problem, it’s the Solution [GestaltU]Bank of America Merrill Lynch recently released a research note suggesting that Risk Parity investment strategies currently represent a substantial source of systematic risk in global markets. The note was picked up breathlessly by several media outlets and posted under sensationalist headlines employing eye-catching terms like "spectre," and "mayhem." The introduction to the
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Surprise! Size, Value and Momentum Anomalies Survive After Trading Costs [Alpha Architect]Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following: size, or a portfolio of small minus big stocks (SMB) (see here for background) value, or a portfolio of high minus low book-to-market stocks (HML) (tons of research on value