This is a summary of links featured on Quantocracy on Friday, 10/11/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using Firm Characteristics to Enhance Momentum Strategies [Alpha Architect]Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Prior research on Momentum The study Momentum Has Its Moments found that momentum strategies can be improved by scaling for volatilitytargeting
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Momentum Explains a Bunch Of Equity Factors [Quantpedia]Financial academics have described so many equity factors that the whole universe of them is sometimes called factor zoo. Therefore, it is no surprise that there is a quest within an academic community to bring some order into this chaos. An interesting research paper written by Favilukis and Zhang suggests explaining a lot of equity factors with momentum anomaly. They show that very often,