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

The Alpha Architect Round Up

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/