This is a summary of links featured on Quantocracy on Monday, 10/10/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Is That Leverage in My Multi-Factor ETF? [Flirting with Models]The debate for the best way to build a multi-factor portfolio mixed or integrated rages on. FTSE Russell published a video supporting their choice of an integrated approach, arguing that by using the same dollar to target multiple factors at once, their portfolio makes more efficient use of capital than a mixed approach. We decompose the returns of several mixed and integrated multi-factor
-
Value Investing Got Crushed During the Internet Bubble – Here’s Why… [Alpha Architect]The dot-com bubble of the late 90s was a wild time in the stock market. Internet stocks were trading through the roof, tech IPOs were a practically daily experience, and people quit their jobs to make millions day trading. And why not? Even a day trading chimp could make money in a market that went up every day. The money flowed like water. In January 2000, just before the bubble popped, Superbowl
-
Presenting in Dallas and Austin, Texas [Alvarez Quant Trading]I will be in Texas next week giving presentations. Click the links below for more details. I hope to see some readers there. October 17, 2016 Austin Market Technicians Association For more information see https://www.mta.org/event-registration/austin-chapter-meeting-featuring-cesar-alvarez/ October 18, 2016 Dallas Association for Technical Analysis For more information see
-
More Reasons To Diversify Factors [Larry Swedroe]Since the publication in 1992 of Eugene Fama and Kenneth Frenchs paper The Cross-Section of Expected Stock Returns, the traditional way to think about diversification has been to view portfolios as a collection of asset classes. However, we now have a nontraditional way to think about diversification. Specifically, we can view portfolios as a collection of diversifying factors. Support