This is a summary of links featured on Quantocracy on Thursday, 12/03/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Maximizing the Rebalancing Premium [Invest Resolve]This short article investigates the rebalancing premium that investors may expect from risk parity portfolios. It is offered as an appendix to the paper, Risk Parity: Methods and Measures of Success. We define rebalancing premium as the difference between the compound return on a portfolio, and the weighted average compound returns produced by the underlying investments in a portfolio. We
-
Profitability Factor Details: Taxable Income is Tied to Future Profitability and Returns [Alpha Architect]Robert Novy-Marxs 2013 paper The Other Side of Value: The Gross Profitability Premium not only provided investors with new insights into the cross-section of stock returns but also helped further explain some of Warren Buffetts superior performance. Novy-Marx built upon a 2006 paper, Profitability, Investment, and Average Returns, by Eugene Fama and Kenneth French, who showed