This is a summary of links featured on Quantocracy on Friday, 05/04/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Different Way To Think About Drawdown Geometric Calmar Ratio [QuantStrat TradeR]This post will discuss the idea of the geometric Calmar ratio a way to modify the Calmar ratio to account for compounding returns. So, one thing that recently had me sort of annoyed in terms of my interpretation of the Calmar ratio is this: essentially, the way I interpret it is that its a back of the envelope measure of how many years it takes you to recover from the worst loss. That is,
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Value Investing Portfolios are Not Dead, But Some Have Done Better than Others [Alpha Architect]Mirror, mirror, on the wall which is the fairest of them all? Recent commentary (to include a recent Barrons article) seems to suggest that value is dead and may never come back. Of course, most of these comments revolve around the price-to-book valuation metric, which, as the Barrons article points out, might have some issues: But theres a problem with price/book: todays economy.
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A Historical Look At Employment Days [Quantifiable Edges]Friday the employment report will be released about an hour before the NYSE open. Employment days have an interesting history and they have contributed to some worthwhile studies over the years. Below is a chart of SPX performance on Employment Days going back to 1993. 2018-05-04 What I find interesting about the chart is that Employment Days have shown such streaky performance and the streaks
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Research Review | 4 May 2018 | Equity Risk Premium [Capital Spectator]The Equity Risk Premium in 2018 John R. Graham and Campbell R. Harvey (Duke University) March 27, 2018 We analyze the history of the equity risk premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to December 2017. The risk premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. The average risk premium is