This is a summary of links featured on Quantocracy on Monday, 10/05/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Review of Modern Asset Allocation For Wealth Management, by David M. Berns, PhD [QuantStrat TradeR]This post will be a review of the book Modern Asset Allocation for Wealth Management, by Dr. David Berns, PhD. The long story short is that I think the book is a must-read for a new and different perspective on asset management, albeit one not without some fairly minor flaws that could be very easily covered with a second edition. So first off, Id like to give a large thank you to Dr. Berns,
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Factor Olympics Q3 2020 [Factor Research]Momentum & Quality are leading the performance scoreboard in Q1-3 2020 Value & Size generated negative returns, like in recent years, and Low Volatility ended a 10-year fantastic run 2020 is shaping up as a year of highly dispersed factor returns INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where
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Institutional Investment Strategies: Keep it Simple [Alpha Architect]Historically Institutional investors have been considered the smart money in investment circles. What academic research has tended to show is that the smart money status of institutional investing has some chinks in its armor, as can be seen in a previous paper we summarized here. In this article, which was recently published in the Journal of Portfolio Management, Richard Ennis begins his