This is a summary of links featured on Quantocracy on Wednesday, 11/02/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Risk Parity and The Four Faces of Risk [GestaltU]Benjamin Graham famously said that "In the short run, the market is a voting machine but in the long run, it is a weighing machine." But this is not quite correct. Rather, in the short term, the market is a machine where investors "vote" about what the market will "weigh" in the future. Of course, when Benjamin Graham referred to "weighing," he was actually
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Value Investing using Enterprise Multiples – Is the Premium Due to Risk and/or Mispricing? [Alpha Architect]At Alpha Architect, we are big fans of Value investing (and Momentum). In the past, Wes and I examined which valuation measure had the largest spread between Value and Growth firms. The evidence showed (updated results here) that Enterprise Multiples had the largest spread between Value and Growth firms. We define Enterprise Multiples as the Total Enterprise Value (TEV) of the firm divided by
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Low Priced Stocks No Bargain [Larry Swedroe]As I wrote about last week, the absolute level of a firms stock price is arbitrary, as it can be easily manipulated by the firm through altering the number of shares outstanding (for example, by splitting the stock). Despite this obvious fact, the research into investor behavior has found a strong preference among individuals for low-priced stocks. For instance, the research shows that