This is a summary of links featured on Quantocracy on Friday, 04/28/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trading and investing performance: year nine, part one [Investment Idiocy]A bit late this year, due to a confluence of holidays, book launches, university exam writing and various other things. Here lies within my performance for the UK tax year 2022-23. Previous years can be found here. TLDR: Not great, absolute or relative. It was indeed a complete anus – horrible!. This will be a two parter this year. In this post I will look at my overall performance, with only a
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Vintage Economic Data [Allocate Smartly]Some of the strategies we track use economic data, like the unemployment rate, when making investment decisions. Like 99.99% of strategy backtests youll encounter, weve always taken the shortcut of basing our historical results on that economic data as it looks today. The problem is that introduces a degree of lookahead bias. Economic data is often initially reported at one value and
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The Drivers of Booms and Busts in the Value Premium [Alpha Architect]Over the almost 100 years that we have had data for U.S. stocks, the value premium (the annual average difference in returns, relative to accounting measures, from buying stocks whose market prices are low versus stocks whose market prices are high) has averaged 4.4% per year (when using book-to-market [HML: high minus low] as the valuation metric). In our book Your Complete Guide to