This is a summary of links featured on Quantocracy on Monday, 08/26/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Es-CAPE Velocity: Value-Driven Sector Rotation [Flirting with Models]Systematic value strategies have struggled in the post-2008 environment, so one that has performed well catches our eye. The Barclays Shiller CAPE sector rotation strategy a value-based sector rotation strategy has out-performed the S&P 500 by 267 basis points annualized since it launched in 2012. The strategy applies a unique Relative CAPE metric to account for structural differences
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Social Media, News Based Sentiment, and Market Timing [Alpha Architect]With a growing availability of filtered (news) and unfiltered (social media) information, the author investigates the following question: Do news or social media contain any information that is of relevance for investment decision making and if so are the two sources are complementary or overlapping? What are the Academic Insights? By using an extensive sample of directly comparable news- and