This is a summary of links featured on Quantocracy on Thursday, 12/17/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Why Does Dual Momentum Outperform? [Dual Momentum]Those who have read my momentum research papers, book, and this blog should know that simple dual momentum has handily and consistently outperformed buy-and-hold. The following chart shows the 10- year rolling excess return of our popular Global Equities Momentum (GEM) dual momentum model compared to a 70/30 S&P 500/U.S. bond benchmark [1]. Results are hypothetical, are NOT an indicator of
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Momentum: Slip Counterfactuals, the “Stale Price” Effect, and the Future [Philosophical Economics]The recent piece on the dangers of backtesting has attracted an unusual amount of attention for a piece on this blog. I'd like to thank everyone who read and shared the piece, and also those who offered up commentary on it. To be clear, my intent in presenting the Daily Momentum example was not to challenge the Fama-French-Asness momentum factor in specific, or the phenomenon of momentum in
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Time-Series vs. Cross-Sectional Implementation of Momentum, Value and Carry Strategies [Quantpedia]We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions that favor the application of a particular setting. Notable quotations from the academic research
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Avoid Firms with CFOs that Golf All the Time [Alpha Architect]Chief financial officers are responsible for managing the financial reporting process. We test whether the quality of a firms financial reports is a function of the effort expended by the CFO. Using golfing records to measure leisure consumption, we first show that CFOs consume more leisure when they have lower economic incentives to work. We show further that higher levels of CFO leisure are
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Historical SPX Performance When Rates Start To Rise [Quantifiable Edges]Fed announcing Wednesday that they will begin raising rates for the 1st time in 11 years. Since 1990 there have only been 4 other cycles of rate hikes. I decided to measure SPX performance from the start of those cycles. I found that one month later the stock market was trading lower every time. But one year later it was higher every time. Individual returns (based on $100k/trade) can be found in