This is a summary of links featured on Quantocracy on Monday, 12/17/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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What do portfolios and teacups have in common? [Flirting with Models]Portfolio risk is often measured as the variance of returns over time. Another form of risk is the variance of terminal wealth that can arise from small variations in strategy inputs or asset returns. Strategies or portfolios that are more sensitive to small changes in inputs are inherently fragile. Fragile strategy design makes it difficult to rely upon backtests or historical results in
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Factor Investing Made In China [Factor Research]This research note was originally published by the CAIA Associations AllAboutAlpha blog. Here is the link. SUMMARY Common equity factors generated attractive risk-adjusted returns in the Chinese stock market Factor performance in China often mirrors global factor performance Indicates common factor drivers that permeate even emerging and isolated markets INTRODUCTION Economic news like changes
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A Protocol to Prevent “Quants Gone Wild” [Alpha Architect]What are the Research Questions? Data mining in finance has long been a concern for academic researchers. Campbell Harvey, one of the authors on this paper, is leading the effort to ensure the integrity of empirical finance research. For example, see here for a post on his address to the AFA. The concerns associated with data mining arent going away. A monster increase in affordable computing
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Weekly Recap: Value Performance & ETFs’ impact on correlations & liquidity [Alpha Architect]This week Ryan and I discuss two posts. First, we examine a guest post by Matthew Bartolini of State Street Global Advisors, discussing the underperformance of Value and its outlook for 2019. Second, we examine a guest post by Elisabetta on a recent JPM paper examining the effects that ETFs have had on Correlations, Liquidity, and Alpha Opportunities. Paper Links: After a Lost Decade, Will Value