This is a summary of links featured on Quantocracy on Thursday, 12/30/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using OECD Composite Leading Indicator Data to Time the Market [Allocate Smartly]This is a test of the Global Growth Cycle strategy from Grzegorz Link that uses OECD Composite Leading Indicator (CLI) data to time the market. Were going to present these results in an odd way. First, were going to replicate Grzegorzs test, which (as he discusses) includes a degree of lookahead bias. Due to the nature of CLI data revisions, the strategy is peeking into the
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Hundreds of quant papers from #QuantLinkADay in 2021 [Cuemacro]Over the past few years Ive been tweeting a daily quant paper (or quant related library or similar) every day with the #QuantLinkADay tag. The initial objective was to make sure that my Twitter account @saeedamenfx posted at least some useful quant link of information (and to prevent Twitter followers being overrun by burger tweets, which I admittedly do tweet about and yes, I do like burgers
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Understanding Momentum Investing [Alpha Architect]Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well-researched asset pricing anomalies. In our book, Your Complete Guide to Factor-Based Investing, Andrew Berkin and I present the evidence of a premium that has been persistent across long periods of time, pervasive around the globe and across