This is a summary of links featured on Quantocracy on Friday, 08/21/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Petra on Programming: Four Dimensions of Strength [Financial Hacker]In the S&C September 2020 article Tracking Relative Strength In Four Dimensions, James Garofallou presents a metric for evaluating a securitys strength relative to 11 major market sectors and over several time periods. All this information is squeezed into a single value. Maybe at cost of losing other important information? In this article well look into how to program such a
Even Great Investments Experience Massive Drawdowns [Alpha Architect]Editors Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 Growth Index outperformed the Russell 3000 Value Index by 51.7 percentage points (46.7% vs. -5.0%). That drawdown was much greater than previous ones and has lasted longer. For frequent