This is a summary of links featured on Quantocracy on Wednesday, 12/25/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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The market impact of rebalancing factor investing strategies [Alpha Architect]Transaction costs are a major concern for practitioners attempting to implement factors investing strategies identified in academic literature. Naturally, this is a subject that has been covered before here, here, and here, but a new look at transaction costs never hurts. The authors of this paper look to analyze the trading costs of rebalancing factor portfolios by employing a model of implicit
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The Best Investment Writing Volume 3: Wes Gray (@AlphaArchitect) [Meb Faber]Author: Wes Gray. Wes is the CEO/CIO of Alpha Architect. He has published multiple academic papers and four books, including Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). After serving as a Captain in the United States Marine Corps, Wes earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel