This is a summary of links featured on Quantocracy on Sunday, 12/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum and Market Anomalies [Alpha Architect]Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. Initial research on momentum was published by Narasimhan Jegadeesh and Sheridan Titman, authors of the 1993 study, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The type of
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Research Review | 8 December 2017 | Momentum Investing [Capital Spectator]Implementing Momentum: What Have We Learned? Adrienne Ross (AQR Capital Management), et al. December 2017 An abundance of academic evidence and theory exists on the efficacy and intuition behind momentum investing, yet a limited number of studies discuss the feasibility of running momentum portfolios in practice. And no study to date has directly analyzed implementation costs for a live momentum
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November 2017 Trend Following [Wisdom Trading]November 2017 Trend Following: DOWN -0.61% / YTD: -15.45% Please find below the latest edition of the Wisdom State of Trend Following as of last month. Performance is hypothetical. Chart for November: Wisdom State of Trend Following – November 2017 And the 12-month chart: Wisdom State of Trend Following 12 months – November 2017 Below are the summary stats: Horizon Return Ann. Vol. Last month
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State of Trend Following in November [Au Tra Sy]November was down for the index, sitting just below the negative double-digit line before year-end. It looks like the State of TF will end in the red in 2017, unless a strong bitcoin-inspired December rally lifts the index back in the black. Please check below for more details. Detailed Results The figures for the month are: November return: -4.09% YTD return: -11.26% Below is the chart displaying