Browsing: Fama French model

Posts Tagged ‘ Fama French model ’

A Renewal of the Value Factor in Equities

Nov 12th, 2020 | Filed under: CAPM / Alpha Theory, Newly Added, Finance & Economics

David Blitz, the head of quant research at Robeco, and Robeco researcher Matthias Hanauer have posted a commentary on the value factor. This is one of the classic Fama-French factors. It began life in 1992 as a simple “high minus low” (HML) calculation; the postulation that stocks with high book-to-marketRead More

Machine Learning Goes Global

Jul 2nd, 2020 | Filed under: Newly Added, Technology, Artificial Intelligence, Machine Learning, Other Topics in A.I.

A recent test of machine learning in pursuit of alpha finds results similar to what established literature already suggests in looking specifically at the value of algorithms in the US market. But this study then goes global, in a way that most of existing literature on this question has not,Read More

A Critique of (Non-forensic) Short Selling

Dec 12th, 2019 | Filed under: Hedge Fund Strategies, Equity Hedge Funds, Financial Economics Theory, Newly Added, Alpha Strategies, The A.I. Industry, Hedge Funds, Finance & Economics

In a new paper, three quants with Robeco suggest that the “short” side of the activity of many long/short equity trades is pointless. These quants are David Blitz, Guido Baltussen, who is also affiliated with Erasmus University, Rotterdam, and Pim Van Vliet. They have broken down the common equity factorRead More