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Prikvačeni tweet
1) trading costs go to zero + 2)data is cheaper and easily available to everyone + 3) behavior fact: data increases confidence, but doesn't improve forecasts = The opportunity to be a TERRIBLE investor has never been better in the history of investing.
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Wes Gray proslijedio/la je Tweet
"You can make 2% extra but have to take on more benchmark risk to do so (by deviating from the market). "It's not like there are $20 bills on the floor, but rather loose change in a fountain, and you can grab a handful if you don't mind getting soaking wet and mean looks."
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Eric is slowly crawling back into the content game...after a long hiatus! "It's not complicated, you don't have to tie yourself against a mast like Odysseus, just don't listen to conference calls or watch CNBC"https://twitter.com/egfalken/status/1224928752095956993 …
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Wes Gray proslijedio/la je Tweet
for
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- Correlations between low vol + momentum increasing
- Correlations in momentum + growth sliding significantly YoY
- Momentum + value hitting extremes in negative correlation late last yearpic.twitter.com/YSJpeY2ocB
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Book Review: Smart(er) Investing by Elisabetta and Tommi - https://alphaarchitect.com/?p=54356 cc
@ebasilico and@tommijohnsenHvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
True. But my performance statements suggest value is dead and buying firms at 10x sales is here to stay.https://twitter.com/jasonzweigwsj/status/1224376413295431681 …
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Wes Gray proslijedio/la je Tweet
• NEW ARTICLE • My latest installment in "The Factor Archives" series covers the original factor: Value. The paper dives into: - Lessons from Railway Manias - The Evolution of Equity Valuation - The Merchant Principle & More...https://canvas.osam.com/Commentary/BlogPost?Permalink=the-factor-archives-value …
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Wes Gray proslijedio/la je Tweet
A sneak peak at a new addition to our platform: measuring how robust each TAA strategy is to what should be inconsequential market "noise". We introduce how we do that, show some examples, and then talk in practical terms about what to do with this data.https://allocatesmartly.com/sneak-peak-robustness-to-noise/ …
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Conflict of Interest and Mutual Fund Sales - https://alphaarchitect.com/?p=54583 by:
@ebasilicoHvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
Why are all value premium researchers dropping their shorts? That's just weird...https://twitter.com/HanauerMatthias/status/1224315060186681367 …
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Wes Gray proslijedio/la je Tweet
Deep historical dive in factor style performance. The 2010s resembled the 1930s and 1990s. Avoid single factors, integrate for example with Conservative Formula
pic.twitter.com/qJoM8Kw9WO
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Weekly Recap from Alpha Architect for 01/31/2020 -http://eepurl.com/gRDc25
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Wes Gray proslijedio/la je Tweet
"The liquidity that you see on the screen... is almost always a fraction of the trade size a liquidity provider could execute in the underlying portfolio." Awesome piece on ETF spreads & liquidity - via
@Nasdaq@phil_mackintosh https://www.nasdaq.com/articles/three-ways-to-look-at-etf-liquidity-and-spreads-2020-01-30 …pic.twitter.com/F82ugjje5m
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Low Volatility-Momentum Factor Investing Portfolios - https://alphaarchitect.com/?p=53557 by:
@FactorResearchHvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
Wes Gray proslijedio/la je Tweet
5 Ways to Bring More Women Into Asset Management
@ThinkAdvisor Thanks @GingerSzalaInk for reviewing our#book with a focus on the#womeninfinance chapter! We hope to inspire#women to join our industry @TommiJohnsenhttps://www.thinkadvisor.com/2020/01/29/5-ways-to-bring-more-women-into-asset-management/ …Hvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
This is definitely not data-mining and a social media risk premium is aligned with the efficient market's hypothesis... cool paper/concept...but doesn't pass my (often wrong) common sense test. Also, not shooting the messenger here --
@msamonov is awesome and a must follow!!!!https://twitter.com/msamonov/status/1222548294477533184 …Hvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
Wes Gray proslijedio/la je Tweet
I riffed on Fama-French factors just now. https://falkenblog.blogspot.com/2020/01/is-fama-french-model-dead.html …
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Wes Gray proslijedio/la je Tweet
You might have noticed I've been talking about private credit a lot recently.
@GregObenshain have been hard at work for the last few months on a major expose on the asset class. It's out today, and we hope you'll take the time to read it in full.https://www.institutionalinvestor.com/article/b1k369v2lg69qt/High-Yield-Was-Oxy-Private-Credit-Is-Fentanyl …Hvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
2019 US market-cap weighted beta rocked! Factor premiums highlight why: --Beta paid a lot --expensive paid a lot --buy and hold paid a lot Meanwhile: --large paid a little --low momentum paid a little --low quality paid a little https://alphaarchitect.com/indexes/performance/#premiums …pic.twitter.com/KsgGjw5ak4
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Three geeks (
@MebFaber@RyanPKirlin@jvogs02 ) walk into a bar in Florida... The bartender says, "Hey, we don't serve statisticians!" Meb/Ryan/Jack resond, "You are just mean!"https://twitter.com/MebFaber/status/1221840629237346305 …Hvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
The predictability of crowding on factor strategy performance - https://alphaarchitect.com/?p=54197 by:
@TommiJohnsenHvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi
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