This is a summary of links featured on Quantocracy on Monday, 09/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Smart Portfolios: A post about a book, NN Taleb, and two conferences [Investment Idiocy]September 18th is the official publishing date of my second book, "Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios (Harriman House, 2017)". This blog post will give you some more information about the book, and more importantly help you decide if it's worth buying. I'll also let you know about a couple of forthcoming conferences
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Value + Quality or High Quality Value Stocks? [Factor Research]SUMMARY Investors can either combine single-factors into a portfolio or sort stocks for several factor characteristics Double-sorting seems to work better for Value & Quality than for Value & Momentum The combination portfolios show the highest risk-return profiles, albeit at lower returns INTRODUCTION London recently hosted the World Championships in Athletics where sportsmen competed in
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Profit Margins, Bayes Theorem, and the Dangers of Overconfidence [Philosophical Economics]Its the fall of 2011. Investors are caught up in fears of another 2008-style financial crisis, this time arising out of schisms in the Eurozone. The S&P 500 is trading at 1200, the same price it traded at in 1998, roughly 13 years earlier, despite the fact that its earnings today are almost three times as high as they were back then. The indexs trailing price-to-earnings (P/E) ratio sits
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A Look At Historical Post-Labor Day SPX Performance [Quantifiable Edges]Way back in 2009 I showed a study that suggested 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 take a new look at that study today. Below are updated results of post-Labor Day action when the previous 20 days have seen gains versus losses. 2017-09-04-1 This shows a poor performance record when there