This is a summary of links featured on Quantocracy on Tuesday, 09/25/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Value and Momentum and Risk [Alpha Architect]Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk versus mispricing, specific to the momentum anomaly. We frequently cite the behavioral explanation for momentuminvestors tend to underreact to new informationwhereby winning stocks do not go up by as much as they should, given the new
-
Portfolio Optimization and the Sharpe Multiplier [Invest ReSolve]Weve spent a great deal of time in past articles discussing the merits of portfolio optimization. In this article we will examine the merits and challenges of portfolio optimization in the context of one of the most challenging investment universes: Managed Futures. Futures exhibit several features that make them challenging from a portfolio optimization perspective. In particular, there can be