This is a summary of links featured on Quantocracy on Thursday, 09/10/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The Positive Similarity of Company Filings and the Cross-Section of Stock Returns [Quantpedia]The usage of alternative data is now a main-stream topic in investment management and algorithmic trading. So lets together explore the textual analysis of 10-K & 10-Q filings and analyze how these datasets could be used as a profitable part of investment portfolios. We invite you to read this short summarization of the research. Full version can be found on the SSRN. Introduction A 10-K or
-
Can We Use the Shiller CAPE Ratio to Forecast Country Returns? [Alpha Architect]We all became relatively aware of the CAPE ratio when Shiller predicted the 2000 internet bubble in his book Irrational Exuberance, then after he added a touch of robustness when he called the 2007 housing crisis 1 we all became intimately aware of it. Since that time CAPE has been utilized to mark Historically, the CAPE ratio, Shillers PE, has primarily be utilized over long periods of
-
Kelly criterion: Part 2 [Quant Dare]When investing, we spend plenty of time thinking about which securities should we buy but we rarely wonder how much money should we allocate in each asset. Although it does not seem like an important aspect, it is crucial when defining a strategy, up to the point that it can determine the hole performance of your portfolio. In this sense, the Kelly criterion helps us selecting the optimal