This is a summary of links featured on Quantocracy on Monday, 11/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
The Yield is Gravity [Flirting with Models]Rolling 12-month returns for the Newfound Multi-Asset Income strategy are currently ranked 47th of 49 since strategy inception in September 2013. We reflect upon research performed over the last several years that continually points back to one critical idea: yield matters. We rebuild this foundational idea from basic building blocks to establish that in the world of fixed income, mark-to-market
Equity Factors: Reducing Portfolio Turnover [Factor Research]Portfolio turnover of equity factors can be reduced significantly by trading more conservatively However, reducing turnover does not necessarily increase risk-return ratios It all depends on transaction costs INTRODUCTION Turnover in business tends to be positive or negative, depending on the context. Investors prefer businesses with high turnover in inventory to similar businesses with low
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing [Alpha Architect]What are the research questions? Do hedge funds exploit stock mispricing? Specifically, do hedge funds tend to hold undervalued stocks that exhibit positive alphas? Do hedge funds profit from these holdings in undervalued stocks? Does the trading in these stock reduce mispricing? What are the Academic Insights? YES. The results of the four-factor Fama-French-Carhart (1997) model are presented in