This is a summary of links featured on Quantocracy on Friday, 11/20/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend Following and Momentum Strategies for Global REITs [Alpha Architect]This study investigates whether the risk adjusted returns of a global REIT portfolio would be enhanced by adopting a trend following strategy (which is an absolute concept), a momentum based strategy (which is a relative concept and requires individual country allocations), or indeed a combination of the two. We examine the results in terms of both a dedicated Global REIT exposure, and the impact
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And Even More Evidence of Acceleration being Predictive [Factor Wave]In the last two posts I wrote about acceleration, where returns over consecutive periods are increasing. Ive received several emails about the idea. These investors (with about 80 years of experience between them) really like the concept. It resonated with the way they saw the world. When looking for stocks, they use one period to form a hypothesis (in this case that a stock has momentum) and
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Stock Returns Around Thanksgiving [CXO Advisory]Does the Thanksgiving holiday, a time of families celebrating plenty, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the three trading days before and the three trading days after the holiday. Using daily closing levels of the S&P 500 Index for 1950-2014 (65 events), we find