This is a summary of links featured on Quantocracy on Friday, 10/13/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Replicating Anomalies [Alpha Architect]Academic research is amazing and incredibly useful for helping us better understand the complex world in which we live. In fact, academic research has literally rewired my brain at times. However, research isnt perfect and the search for truth is messy. Data-mining. Overfitting. P-hacking. Weve recently covered the subject here, here, and here. Whats the bottom line? Disregard everything
Are U.S. Equity Momentum ETFs Working? [CXO Advisory]Are U.S. stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five momentum-oriented U.S. equity ETFs with assets over $100 million, all currently available (in order of decreasing assets): iShares Edge MSCI USA Momentum Factor (MTUM) holds U.S. large-capitalization and mid-capitalization stocks with relatively high
Research Review | 13 October 2017 | Expected Return [Capital Spectator]The Most Dangerous (and Ubiquitous) Shortcut in Financial Planning John West and Amie Ko (Research Affiliates) September 2017 Using historical returns to forecast the future is one of the most common shortcuts in financial planning. Investment advisors who use only past returns to forecast future returns may well be creating unrealistic expectations and poor investment outcomes for their clients.