This is a summary of links featured on Quantocracy on Saturday, 09/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Listening to the Short Sellers [Alpha Scientist]To most investors, short selling is a shadowy, mysterious corner of the markets. Many do not make use of shorting – and I suspect a majority don't understand how to glean insights from trends in short selling activity. Over the past several years, I've traded short about as often as long and have consequently learned a great deal about the subtle differences between the long and short
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A brief history of quantitative equity strategies [SR SV]Understanding quantitative equity investments means understanding a significant portion of market positions. Motivated by the apparent failure of the capital asset pricing model and the efficient market hypothesis, a large share of equity investors follows stylized factors that are expected to outperform the market portfolio in the long run. Yet, popularity and past performance of such