Quantocracy’s Daily Wrap for 01/29/2019

This is a summary of links featured on Quantocracy on Tuesday, 01/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Growing List of Long-Run Factor Studies [Two Centuries Investments]

    While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the
  • Why Waiting Until The Announcement Is A Tough Way To Trade The Fed [Quantifiable Edges]

    Wednesday is a Fed Day a day in which the Federal Reserve concludes their scheduled meeting and releases a policy statement. Fed Days have historically shown a bullish inclination (up until Powell took over last year, as I showed on Sunday). One interesting aspect of Fed Days that I covered in the book is that the bullish inclinations have basically played out prior to the actual Fed

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