This is a summary of links featured on Quantocracy on Monday, 08/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Uncertain Alpha [Flirting with Models]SUMMARY We have previously discussed many problems associated with the measurement of alpha. Measurement uncertainty, the choice of model risk factors, and the analysis timeframe can all have significant impacts on the calculation and applicability of alpha, and investors are often hard-pressed to obtain sufficient information surrounding the calculation methods. These problems can be exacerbated