This is a summary of links featured on Quantocracy on Tuesday, 11/28/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
A Guide to Forecast Scalars [Return Sources]In my last post about the overnight anomaly, I created a trading signal based on the difference between recent overnight returns and recent intraday returns. I calculated the signal for various time frames (ranging from about a week to about a year), and I mentioned that I applied different forecast scalars to each time frame. I didnt really elaborate what a forecast scalar is, and I
Overlapping Momentum Stocks – do they cause outperformance? [Alpha Architect]Momentum investors utilize different timeframes to identify high momentum equities: past 6, 9, 12 months as an example. Obviously, there is a significant degree of overlap in momentum stocks identified across various past time frames. However, there has been little research focused on understanding the characteristics of momentum stocks formed on six and 12 months that overlap one another. The