This is a summary of links featured on Quantocracy on Thursday, 08/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value and momentum yes, size and CAPM no [Klement on Investing]In recent weeks, I have probably ODed my readers with philosophical and highbrow topics. Whether it was my Hitchhikers Guide to Investment Research or yesterdays post on the Fiscal Theory of the Price Level. Since this is my last post before my summer break, I wanted to bring it down to earth and do some good old-fashioned testing of investment returns. I have been going on about the
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Alpha from Short-Term Signals [Alpha Architect]In Your Complete Guide to Factor-Based Investing Andrew Berkin and I provided six criteria that had to be met in order to determine which exhibits in the factor zoo are worthy of investment. For a factor to be considered, it must meet all of the following tests. To start, it must provide explanatory power to portfolio returns and have delivered a premium (higher returns). Additionally,