This is a summary of links featured on Quantocracy on Friday, 12/27/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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From Fragility to Robustness: The Value of Ensembles [Invest Resolve]Google dictionary defines the word robust thusly: sturdy in construction able to withstand or overcome adverse conditions and offers the following definitions for the word fragile: easily broken or damaged flimsy or insubstantial; easily destroyed not strong or sturdy; delicate and vulnerable How can an investment model be sturdy in construction and able to withstand or overcome
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Quant Investing: Greenblatt Value Strategy [Investing For A Living]In this post I take a look a popular and quite simple quant strategy that combines value and profitability, the Greenblatt Value Strategy. Results are impressive and the strategy has held up better than most value strategies over the last 10 years. And even more impressive it has even outperformed the index over the last 3 years, which is saying something. Lets dive right in. The strategy is
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International Evidence on Factor Premiums [Alpha Architect]Klaus Grobys contributes to the literature on asset pricing models with his October 2019 paper, Another Look on Choosing Factors: The International Evidence. Using bootstrap simulations, Grobys examined international markets, specifically the four regions of North America (NA), Europe, Japan and Asia Pacific (AP), as out-of-sample tests of the performance of the leading factors and asset