This is a summary of links featured on Quantocracy on Monday, 08/31/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Effects of Portfolio Construction on the Performance of Style Factor ETFs [Alpha Architect]Every once in a while its effective to challenge the deep-seated ideas that have been utilized to construct your portfolio. Here at Alpha Architect continuously study the literature and conduct research to derive what we believe gives investors the best shot at winning over the long-haul. This article challenges our preference for the equal-weight methodology, which ensures base-line
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Picking Profitable Businesses Can Be Highly Unprofitable [Factor Research]There seems to be a relationship between the Profitability factor and interest rates The most profitable stocks outperformed the least profitable ones when market cap-weighted However, when equal-weighted, the least profitable stocks outperformed INTRODUCTION The gap between theory and reality in finance is sometimes fuzzy, at other times crystal clear. Ask an academic what explains stock returns
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Research Review | 28 August 2020 | Portfolio Strategy [Capital Spectator]Fire Sale Risk and Expected Stock Returns George O. Aragon (Arizona State U.) and Min S. Kim (Michigan State U.) July 29, 2020 We measure a stocks exposure to fire sale risk through its ownership links to equity mutual funds that experience outflows during periods of systematic outflows from the fund industry. We find that more exposed stocks earn higher average returns: a portfolio that buys