This is a summary of links featured on Quantocracy on Thursday, 07/23/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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P/E Attention Strategies Earn Monthly Excess Return of 1% [Alpha Architect]Active investors with limited attention and capital constraints use fundamental metrics to screen and sort potential investments. Price-earnings (P/E) ratios are extremely popular, and are typically calculated using four trailing quarters of net income. Changes in the rankings of published P/E ratios may influence investor attention and subsequent excess returns. From 1974-2013, decile
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Carry: An Investing Framework [Factor Wave]People generally compartmentalize their knowledge. They try to think of things in terms of categories and frameworks rather than remember a bunch of disconnected facts. For example, chemists think of the world in terms of interactions between elements, astrologists (a.k.a stupid people) think of the world in terms of zodiac signs and at FactorWave we think of investing in terms of facto
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SPX Strangle – High Loss Threshold – 66 DTE [DTR Trading]This post looks at selling one-lot options strangles on the S&P 500 Index (SPX), initiated at 66 days-to-expiration (DTE). The results in this post were derived from more than 2300 individual trades entered by the backtester. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article f
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Add Junk Bonds To The Growing Pile Of Concerns [Dana Lyons]This weeks Charts Of The Day and blog posts have had a heavy bearish bent to them. That isnt by design. We just go where the data leads us and much of the data, in our view, is skewing to the bearish side for equities. Included in the concerning assortment of data are many examples of weakening stock market internals. That isnt the only concern, however. As todays Chart Of The Day i