Dear All,
I'm not active on the forum (I hope to become one pretty soon). I'm looking for references on research on Factor investing mostly on Value, Reversal and Momentum. How are they actually computed, backtesting, literature...
Are any topics open on this? Can you please help?
Thanks,
Regards,
Dragos
Serving the Quantitative Finance Community
Re: Factor investing - Momentum, Reversal, Value
Start here:
Move to the references. Move onward from there.
Move to the references. Move onward from there.
Re: Factor investing - Momentum, Reversal, Value
Hi Hansi,
I'm familiar with the concept and several risk models in the market such as Barra and Aladdin. I was thinking whether there is a thread with a more indebt analysis on exploiting the market inefficiency on this factors or a review of academic literature on results.
My aim is to check whether my multi asset trading algo based purely technical analysis and carry can be improved by adding these factors as inputs. As I don't want to reinvent the wheel I thought I can find some useful information here.
I'm familiar with the concept and several risk models in the market such as Barra and Aladdin. I was thinking whether there is a thread with a more indebt analysis on exploiting the market inefficiency on this factors or a review of academic literature on results.
My aim is to check whether my multi asset trading algo based purely technical analysis and carry can be improved by adding these factors as inputs. As I don't want to reinvent the wheel I thought I can find some useful information here.
Re: Factor investing - Momentum, Reversal, Value
I fear that threads like that aren't common on here, most of that stuff people just keep to themselves either because they are profiting from it or are bound to non-disclosure since the IP is their employers.