Several younger quants have asked this question: “The culture of our quant group is very skeptical about new ideas. They are terrified of data-mining, and random factors. How can we innovate in such environment?”
The Two Sides of Factor Investing
Follow up to last week's “Factors Don't Exist”
In last week’s post, I made a strong assertion that has caused some great feedback and comments. When I first heard Mark Kritzman make a similar point at a UBS conference a few years ago, I had a similar reaction: “Hey, I’m a quant and I love my factors. They are definitely real!”.
Thoughts on Factor Investing
12 Reasons Why Traditional Asset Allocation Doesn’t Work
You Can't Throw Darts at Asset Classes
What Return to Expect From a Fairly Valued Stock?
Strategy Risk vs Asset Risk
Quantamental Investing - A Century of Inventions
Volatility vs Risk
What is better: Factor Zoo or Factor Museum?
Here are my 8-thoughts and 1 solution idea about Campbell Harvey and Yan Liu recently released paper on their influential concept of the factor zoo.
10 Large Scale Factor Anomaly Studies with Definitions
What if Asset Managers Switched with Advisors?
12 Books on Factor Investing by Asset Managers
Quantitative Portfolio Management by Edward Qian, Ronald Hua, Eric Sorensen
Expected Returns by Antti Ilmanen
Quantitative Value by Wesley Gray and Tobias Carlisle
