This is a summary of links featured on Quantocracy on Saturday, 06/13/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum and Stop Losses [Dual Momentum]Stop losses are a form of trend following in which you switch from risky assets, such as stocks, to a risk-free or fixed income asset after there are pre-determined cumulative losses. The random walk hypothesis (RWH) was widely accepted in the 1960s and 1970s. It was synonymous with market efficiency. It effectively eliminated any academic interest in stop loss rules. Under RWH, with st
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An Overview of Market (In)efficiency Research [John Orford]Always outnumbered but never outgunned. That's how the saying goes. But this time you are outgunned and staring death squarely in the face. In the moments before your final reckoning, you think about your children, husband – and the impending invasion. This is it. And that is precisely what economists face every day hen fo
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Using the Price to Sales Ratio [Investor’s Field Guide]Price to sales is a very simple valuation ratio. It has the tendency to bias you towards lower margin and higher debt companies, all else equal, but it has still been a very effect measure of cheapness and a fine standalone factor for stock selection. Having explored the history of the ratio, lets now turn to its measurement and usefulness in stock selection. Here is a sum
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Max Wait [John Orford]There's a phrase or attitude in and around Java called pasrah. Maybe it's dying out only surviving in some out of the way places which haven't been totally submerged in bit and bytes. Pasrah means 'resignation'. Train doesn't come on time? Pasrah. Stuck in a humungous queue? Pasrah. Stranded in your car in the middle of Ja