This is a summary of links featured on Quantocracy on Thursday, 09/06/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Asset Allocation Roundup [Allocate Smartly]Recent asset allocation articles (tactical or otherwise) that you might have missed: We Are All FX Traders Now (Alpha Scientist) Because international ETFs trading in the US (ex. EFA or EEM) are denominated in USD, most are affected not just by changes in the underlying assets, but also by changes in the exchange rate between USD and local currencies (the exception is the occasional
-
Equity Factors in Emerging Markets [Quantpedia]This study investigates the relation between a comprehensive set of firm-specific attributes and future equity returns for a sample of stocks from 27 emerging markets. Univariate analyses based on equal-weighted portfolio returns reveal that the low beta, firm size, book-to-market ratio, momentum and illiquidity anomalies are also observed in emerging markets whereas short-term reversal, left-tail