This is a summary of links featured on Quantocracy on Wednesday, 09/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Is momentum investing dead? Or is it just painful? [Alpha Architect]Sometimes even the best evidence-based active investment strategies can create a formidable challenge to investors seeking to exploit them. Case in point momentum investing. On the one hand, stock-selection momentum strategies (here is a link to more information) can have the potential to generate excess expected returns over the long run; on the other hand, these strategies sometimes generate
-
Strategy Up/Down Capture [Alvarez Quant Trading]A reader sent this interesting link about Up/Down Capture. The great part about this article it is something I have intuitively known about my trading strategies but never tried to quantify. This was the bump I needed to investigate this concept. When the SPY moves up on average how much does my strategy profit? When the SPY moves down how much does my strategy lose? I had fun creating an