Quantocracy’s Daily Wrap for 04/16/2019

This is a summary of links featured on Quantocracy on Tuesday, 04/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Factors that Plague Factor Investing [Alpha Architect]

    For those interested in the literature on factor-based investing, a new paper by Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa, Alices Adventures in Factorland: Three Blunders That Plague Factor Investing, focuses on why, in some ways, it has failed to live up to its promise (or hype). Their study covers the period July 1963-June 2018. The authors raise the
  • The seven reasons most econometric investments fail [Mathematical Investor]

    Marcos Lopez de Prado, recently named 2019 Quant of the Year by the Journal of Portfolio Management, has released a presentation entitled The seven reasons most econometric investments fail. Lopez de Prados overall point is that many widely used econometric approaches in finance either rely on misleading p-value statistics, or else rely on strong assumptions that are typically not satisfied by
  • Warren Buffet: The Greatest Factor Investor of All Time? [Factor Research]

    A factor exposure of Berkshire Hathaway reveals structural factor tilts Long Value, Size, Quality, and Low Volatility factors and short Growth and Dividend Yield Warren Buffet generated little alpha, but is highly skilled at harvesting factor returns SAINTS AND STAR INVESTORS The Vatican waits at least five years after a person died before it begins considering whether they are worthy of
  • Aggregate Investor Confidence in the Stock Market [Alpha Architect]

    What are the Research Questions? A common assumption in finance theory is that agents in the stock market behave rationally. Even if temporary mispricing occurs, due to irrational beliefs or incomplete information of some agents, arbitrageurs swiftly restore equilibria. In contrast, the history of stock markets yields rich evidence of events ( Crash of 1929, the Black Monday in 1987, the dot-com

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