This is a summary of links featured on Quantocracy on Monday, 09/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Building a garden “trading” office (off topic but fun) [Investment Idiocy](Both) regular followers of this blog will have been on tenterhooks for many months now, waiting for my next post. I have been busy! First of all, I've been finishing my third book. More detail on that later, in the next post. I've also had a fair bit of holiday time. But mainly over the summer I've been building my own garden office. Now a post about constructing a garden office
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Quality: Independent attributes or a real factor? [Alpha Architect]The authors do a very nice survey on measures of quality found in the academic literature and in commercially available quality indexes. They examine seven quality categories including: profitability, earnings stability, capital structure, growth, accounting quality, payout/dilution and investment. In order to mitigate datamining biases the authors employ 3 criteria (Hsu, Kalesnik and Viswanathan,
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Macro and Momentum Factor Rotation [Flirting with Models]While many investors have adopted a multi-factor approach to style investing, some have pushed these boundaries by advocating for an active, rotational approach to factor allocation. In a recent white paper, MSCI suggests several methods that might be conducive for performing style rotation, including macro-, momentum-, and value-based signals. In this commentary, we attempt to test the macro- and