This is a summary of links featured on Quantocracy on Friday, 09/02/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Automated Trading Edge Analysis [Quantpedia]Have you ever wondered if your trading asset trends or mean-reverts? Everyone involved in trading or investments daily solves the task of What trading strategy should I apply to my assets to generate profits? As always, we at Quantpedia will try to help you a bit with this never-ending task with our new tool/report, which will be unveiled next week for all Quantpedia Pro subscribers. The
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How You Sort Matters in Sorting Factor Portfolios [Alpha Architect]In Your Complete Guide to Factor-Based Investing, Andrew Berkin and I established criteria that must be met before considering investing in a factor-based strategy. We established the criteria to minimize the risks that any findings were the result of data-mining exercises. Data mining occurs when, instead of beginning with a hypothesis, researchers torture the data until it confesses.
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Research Review | 2 Sep 2022 | Trading Costs and Market Frictions [Capital Spectator]The Avoidable Costs of Index Rebalancing Robert D. Arnott (Research Affiliates), et al. May 2022 Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to