Quantocracy’s Daily Wrap for 09/03/2019

We explore top N sector rotation strategies based upon momentum signals. We find that too much concentration (i.e. N is too small) leads to poor performance, whereas performance does not appear to materially degrade for larger N. We find that short- to long-term signals all appear to generate higher total returns than the S&P 500 and there may be room to benefit from diversification by

This is part 2 (part one is here) of an excellent article that examines the feasibility and effectiveness of protecting equity portfolios using traditional passive means and more contemporary active strategies. It is jam-packed with information and analysis that is best consumed in two parts; however, a good summary of the article by Larry Swedroe can be found here. The focus in part 1 is the

In part 1 of this series, we talked about how a market-savvy systematic trader would approach a period of drawdown in a trading strategy. Specifically, theyd: do the best job possible of designing and building their trading strategy to be robust to a range of future market conditions chill out and let the strategy do its thing, understanding that drawdowns are business-as-usual go and look for

A couple of years ago on the blog I showed a study suggesting that Labor Day week performance has been somewhat dependent on whether the market has rallied over the 20 trading days leading up to it. I decided to update that study today. Below is a look at post-Labor Day performance when the previous 20 days have seen gains versus losses. First lets look at rises into the holiday (unlike now).

Value investors earn a premium for holding undesirable stocks The yield curve may identify periods where the premium is more attractive Since 1971, the performance of the Value factor was negative when the yield curve was flattening INTRODUCTION Imagine a portfolio of companies that are plagued by declining sales, negative earnings, too much leverage, rating downgrades, CEOs that prefer golf over