This is a summary of links featured on Quantocracy on Thursday, 09/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
When Should You Buy Momentum? Mean-Reversion in The Momentum Factor [CSS Analytics]new concepts in quantitative research Home CSSA Investor IQ When Should You Buy Momentum? Mean-Reversion in The Momentum Factor September 12, 2019 by david varadi Recently there was a good post by Bespoke Research highlighting the Momentum Massacre that we recently witnessed in the market. High- flying momentum stocks were decimated and the low momentum/losing stocks made a roaring comeback.
Value: Don’t Call it a Comeback, it’s Been Here for Years [Alpha Architect]Value and Momentum each had back to back extreme returns (five sigma) days on Monday, September 9th and Tuesday, September 10th. The Dow Jones Thematic Market Neutral Value Index (Value) started the week up 3.45%, its best day since inception on December 31st, 2001. The Value Index followed this up on Tuesday, September 10th with a 2.56% return, its 7th best day since inception. The Dow
Exploring Simplicity In Tactically Managed ETF Portfolios [Capital Spectator]Risk management has become a high priority for many investors over the past decade. The worst financial crisis and recession since the Great Depression in 2008-2009 clearly has the power to focus minds. Research shops have moved heaven and earth to search for solutions that attempt to limit risk without sacrificing return. The question is whether simplicity is competitive in this quest? As a