This is a summary of links featured on Quantocracy on Tuesday, 12/29/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Three Value Investors Meet in a Bar [Investor’s Field Guide]Bill, Ernie and Samthree lifelong value investorsmet in a bar on November 30th, 2015. Bill was despondent. Hed underperformed the market by -47% over the past 10-years and was questioning his very belief in value. Ernie was happier. Hed done poorly in 2015, but over the last ten years hed outperformed the market by +19%. Sam offered to buy the next round. Hed outperformed by +52%
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Portfolio Analysis in R: Part V | Risk Analysis Via Factors [Capital Spectator]In the previous installment in this series of analyzing a globally diversified portfolio we reviewed the results after adding a momentum-based risk-management system. The test suggested that a tactical overlay can be productive maybe, depending on the details. Lets continue to investigate our sample portfolio by taking a closer look at the underlying factors that are driving risk and return.
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Upside and Downside Risks in Momentum Returns [Quantpedia]I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside market betas than losers. As a result, the winner-minus-loser momentum portfolios are exposed to extra
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Great Academic Research is Bursting at the Seams [Alpha Architect]Having been a full-time academic financial economist in a former life (still dabble, when able), I became accustomed to my annual pilgrimage to the annual American Finance Association (AFA) meeting. For the uninitiated, the AFA annual meeting is a gathering of all the major brainpower in academic finance. Getting a paper accepted into the program is a big deal for academic researchers (Ive had
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Tis the Season for strange effects in the stock market [Alpha Architect]The efficient market hypothesis suggests that stock prices are always right in the sense that stock prices reflect all available information. Of course, during tax season, fundamentals go out the window: Im selling my losers, and letting my winners ride! And Im not the only investor thinking like this. But how can savvy investors leverage seasonality effects for their own