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
- Market Sell-off Analysis: Baseline Historical Facts
- Enhancing the Performance of Momentum Strategies
- Momentum, Quality, and R Code
About the Author: Jack Vogel, PhD
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For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice. Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.
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