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Compound Your Knowledge Ep 18: Size, Mom, Sell-Offs, & R Code

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Manage episode 238379374 series 2431123
Content provided by Alpha Architect. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Alpha Architect or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
In this week’s post, we discuss four articles. The size, written by the folks at AQR, is titled “Fact, Fiction, and the Size Effect” and is a deep dive into the Size effect–I highly recommend everyone read the underlying paper as well. The second article examines the baseline historical facts of market sell-offs, both within the U.S. and other markets. The third paper, summarized by Larry Swedroe, examines a way to enhance L/S momentum portfolios. The last article discusses Momentum, Quality, and more importantly, gives some R Code to help those interested in replicating results at home. Article Links: Fact, Fiction, and the Size Effect https://alphaarchitect.com/2019/07/08/fact-fiction-and-the-size-effect/ Market Sell-off Analysis: Baseline Historical Facts https://alphaarchitect.com/2019/07/10/market-sell-off-analysis-baseline-historical-facts/ Enhancing the Performance of Momentum Strategies https://alphaarchitect.com/2019/07/12/enhancing-the-performance-of-momentum-strategies/ Momentum, Quality, and R Code https://alphaarchitect.com/2019/07/11/momentum-quality-and-r-code/
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60 episodes

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iconShare
 
Manage episode 238379374 series 2431123
Content provided by Alpha Architect. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Alpha Architect or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
In this week’s post, we discuss four articles. The size, written by the folks at AQR, is titled “Fact, Fiction, and the Size Effect” and is a deep dive into the Size effect–I highly recommend everyone read the underlying paper as well. The second article examines the baseline historical facts of market sell-offs, both within the U.S. and other markets. The third paper, summarized by Larry Swedroe, examines a way to enhance L/S momentum portfolios. The last article discusses Momentum, Quality, and more importantly, gives some R Code to help those interested in replicating results at home. Article Links: Fact, Fiction, and the Size Effect https://alphaarchitect.com/2019/07/08/fact-fiction-and-the-size-effect/ Market Sell-off Analysis: Baseline Historical Facts https://alphaarchitect.com/2019/07/10/market-sell-off-analysis-baseline-historical-facts/ Enhancing the Performance of Momentum Strategies https://alphaarchitect.com/2019/07/12/enhancing-the-performance-of-momentum-strategies/ Momentum, Quality, and R Code https://alphaarchitect.com/2019/07/11/momentum-quality-and-r-code/
  continue reading

60 episodes

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