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Quantocracy’s Daily Wrap for 10/02/2015

This is a summary of links featured on Quantocracy on Friday, 10/02/2015. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using Normal Drawdowns as a Timing Signal [EconomPic]

    The below analysis was purely an accident. I was actually looking into periods the U.S. stock market "suffered" a 10% drawdown for the absolute opposite reason; to show that a buy and hold investor should likely ignore these regularly occurring events. How regular? The always interesting Ryan Detrick points out: I looked at every calendar year since 1960 and looked at various correction
  • Volatility Reconcialiation [John Orford]

    Yesterday I wrote up a post, and immediately after, was sure I got something wrong. This is the offending chart. Volatility increases linearly as we add more positions to the equally weighted portfolio. What I failed to mention is that each position was weighted by 100% of the portfolio. So two positions meant the portfolio was leveraged 2x and so on. Stupid right? Well, not necessarily. What was
  • Relative Strength and Dividend Investing [Systematic Relative Strength]

    The portfolio manager of a large, active dividend fund was recently interviewed by Morningstar. (What Active Management Can Bring To Dividend Investing http://www.morningstar.com/cover/videocenter.aspx?id=716392). The portfolio manager argues that simply looking for stocks with high dividend yields is insufficient because so many of those very high yielding stocks go through dividend cuts.

Filed Under: Daily Wraps

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