This is a summary of links featured on Quantocracy on Thursday, 09/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Introduction to Clustering Methods In Portfolio Management – Part 1 [Quantpedia]At the beginning of October, we plan to introduce for our Quantpedia Pro clients a new Quantpedia Pro report dedicated to clustering methods in portfolio management. The theory behind this report is more extensive; therefore, we have decided to split the introduction into our methodology into three parts. We will publish them in the next few weeks before we officially unveil our reporting tool.
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Is Currency Momentum Factor Momentum? [Alpha Architect]A large body of evidence, including the studies Is There Momentum in Factor Premia? Evidence from International Equity Markets, Factor Momentum Everywhere (Summary) and Factor Momentum and the Momentum Factor, has demonstrated that momentum exists across financial markets (stocks, bonds, commodities, and currencies) and around the globe and that both cross-sectional (relative) and