This is a summary of links featured on Quantocracy on Monday, 11/02/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
The Dead versus The Living Stocks [Factor Research]Zombie stocks are a diverse group, both from a country and sector perspective Zombie stocks were fundamentally riskier, yet outperformed non-zombie stocks over the last year Oddly, investors need to pay up as they are also more expensive INTRODUCTION Walking through financial centers like London or New York in the spring of this year felt in many ways like being a zombie movie. Shops were boarded
What Assumptions Are You Making About Time In Your Trading? [Robot Wealth]I recently listened to a podcast about one of the earliest human civilizations the ancient Sumerians. Apparently, our system of minutes, hours, and days has been with us since the time of these ancient people, who developed it based on a simple base-12 counting system: There are three joints in each of the four fingers You can count twelve by tapping each joint in turn with the thumb of the
How Do You Think the Global Market Portfolio Has Performed from 1960-2017? [Alpha Architect]This paper complements Doeswijk, Lam, and Swinkels 2014 paper, which documents the historical composition of the market portfolio. Doeswijk, Lam, and Swinkel stopped their research in building the market portfolio, but left the work of the market portfolios historical returns undone. In this post, the original authors pick up where they left off and work on finding the returns of the