This is a summary of links featured on Quantocracy on Tuesday, 08/04/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
Expensive Junk Stocks are Killing High-Quality Value Stocks, YTD [Alpha Architect]In general, investors focused on affordable stocks with strong fundamentals have been taken to the cleaners year-to-date. Meanwhile, expensive stocks with poor fundamentals have been rocking! Some Basic Statistics: Below we document some core performance figures using Ken Frenchs data on value/growth portfolios (proxy for cheap/expensive) and high profi
2 Ways to Lower Portfolio Drawdown [Flirting with Models]The financial crisis of 2007 to 2009 highlighted the importance of downside risk management. Many managers that protected capital during this period saw their AUM balloon. Some of these same managers underperformed in the post-crisis years. This underperformance should be anything but surprising. We often compare tactically risk-managed strategies to uncertain