This is a summary of links featured on Quantocracy on Monday, 10/08/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bonus Episode: Wes Gray Factor Investing is More Art, and Less Science [Meb Faber]Author: Wes Gray. Wes is the CEO/CIO of Alpha Architect. He has published multiple academic papers and four books, including Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). After serving as a Captain in the United States Marine Corps, Wes earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel
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Factor Investing in Micro & Small Caps [Factor Research]This research note was originally published by the CFA Institutes Enterprising Investor blog. Here is the link. SUMMARY Micro caps are commonly perceived as highly risky, but potentially also highly rewarding Smalls caps generate more attractive risk-return ratios than micro caps on index level Focusing on factors improves risk-adjusted returns across market cap segments INTRODUCTION FAANG
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Investment Factor Timing: Challenging, but Not Impossible [Alpha Architect]Is it possible to time factors? (An old blog on the topic here and Jack discussing on a podcast here) Are there financial and economic indicators that can be used to predict factor returns? Are timing models just luck? What are the Academic Insights? YES. The authors use Fama-French 5 Factors calculated over the period 1972-2015 and forward time horizons of 1,2 and 3 months and 1,2,3 and 5 years