This is a summary of links featured on Quantocracy on Saturday, 10/17/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Knapsack problem implementation in R [Quantpedia]Our own research paper ESG Scores and Price Momentum Are More Than Compatible utilized the Knapsack problem to make the ESG strategies more profitable or Momentum strategies significantly less risky. The implementation of the Knapsack problem was created in R, using slightly modified Simulated annealing optimization algorithm. Recently, we have been asked about our implementation and the code. The
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Equity Trend Following Performance Around the Globe [Alpha Architect]Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have had recent positive returns and short assets that have had recent negative returns. Trend following has attracted a lot of attention over the past decade due to its strong performance during the global financial crisis and the
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Research Review | 16 October 2020 | Index Investing [Capital Spectator]Does Joining the S&P 500 Index Hurt Firms? Benjamin Bennett (Tulane University), et al. July 20, 2020 We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price