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/