This is a summary of links featured on Quantocracy on Friday, 07/22/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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What Drives Momentum Performance? [EconomPic]Mar Vista Investment Partners has a really interesting research piece out The Price You Pay which has a great table outlining the benefit of an asymmetric return profile (i.e. having more market exposure during up markets than down markets). It is a mathematical truism that superior down capture in negative periods provides more capital for compounding in the ensuing positive periods. Using
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The Arbitrage of Price-to-Book [Portfolio Perfection]The trending value strategy buys the top 25 stocks by their 6 month price momentum among the top decile of stocks ranked by value composite 2 (VC2), a combination of price-to-earnings ratio, price-to-sales ratio, price-to-book ratio, earnings before interest tax depreciation and amortization to enterprise value ratio (EBITDA/EV), price-to-cash flow ratio, and shareholder yield. Price-to-book was