This is a summary of links featured on Quantocracy on Friday, 05/01/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Tactical Asset Allocation in April: Stubbornly Defensive [Allocate Smartly]Tactical Asset Allocation (TAA) dodged the worst of the bear in February and March, but trailed the big bounce in April. Entering May, TAA remains stubbornly defensive. We track 50+ TAA strategies sourced from books, papers, etc., allowing us to draw broad conclusions about TAA as a style. In the table below we show the MTD and YTD returns of these 50+ strategies: TAA is designed to earn its keep
-
Performance After 10% Up Months [Quantifiable Edges]April finished with a 12.7% gain for the SPX. That is the strongest 1-month gain since January of 1987. In last nights subscriber letter I decided to look back at all other instances following 1-month SPX (or its predecessor the S&P 90) gains of 10% or more. The table below shows all instances since 1928. 2020-05-01 The averages, medians, and % wins all look very mild, suggesting there may
-
What’s the Story Behind EBIT/TEV? [Alpha Architect]A common question we receive at Alpha Architect is the following: Why do you focus on EBIT/TEV as a value screen for stocks instead of the more traditional measures such as book to price? In short, we believe stocks are ownerships in businesses (I know that sounds crazy coming from a quant shop!). As systematic business buyers, we want a valuation metric (or set of metrics) that, 1) make economic