This is a summary of links featured on Quantocracy on Friday, 12/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Quant’s Look on ESG Investing Strategies [Quantpedia]ESG Investing (sometimes called Socially Responsible Investing) is becoming a current trend, and its proponents characterize it as a modern, sustainable, and responsible way of investing. Some people love it, others see it as just another fad that will soon be forgotten. We at Quantpedia have decided to immerse in academic research related to this trend to understand it better. How are ESG scores
-
Trend-Following Plus Momentum in ETFs [Alvarez Quant Trading]In a previous post, Trend-following vs. Momentum in ETFs, I compared trend-following and momentum to see which produced better results on a basket of ETFs. In the post, I mentioned combining trend-following and momentum into one strategy to see if combined they can beat buy and hold more often. Testing Info Dates: 1/1/2006 to 10/31/2019 The basket of EYFs is AGG, DBX, EEM, EFA, GLD, HYG, IWM, LQD,
-
Improving the Performance of Deep Value Strategies [Alpha Architect]A large body of evidence demonstrates that investment strategies focused on buying stocks that are cheap relative to measures of fundamental value have achieved higher long-term returns than the broad market. Motivated by such legendary investors as Benjamin Graham, David Dodd, and Walter Schloss, deep value investors look to build portfolios of stocks with the cheapest valuations relative to