This is a summary of links featured on Quantocracy on Wednesday, 11/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-following vs. Momentum in ETFs [Alvarez Quant Trading]In Tactical Asset Allocation (TAA) or Dual Momentum (DM) strategies, they often will use trend-following or momentum to decide whether to invest in asset or not. I have two questions. One, how often does either trend-following or momentum they beat buy and hold? Two, of the two which one beats the other more often? Trend-Following Rules Buy Last day of month Close is greater than the 10-month
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Investment, Expected Investment, and Expected Stock Returns [Alpha Architect]A new DFA article by Rizova and Saito (2019, Investment and Expected Stock Returns) (1) rehashes previous arguments in Fama and French (2006, 2015) on the investment factor. The core arguments are as follows: Valuation theory predicts that expected investment is negatively correlated with expected return, all else equal; and Current asset growth is a good proxy for expected investment.