This is a summary of links featured on Quantocracy on Wednesday, 12/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value investing: What history says about five-year periods after valuation peaks [Alpha Architect]No matter how you slice it, Value stocks are historically cheap compared to the past. There have been numerous articles on this topic, such as Ryans post here, Larry Swedroes post here, and more recently, Cliff Asness post here. Cliffs post is one picture, shown below. 1 Source: https://www.aqr.com/Insights/Perspectives/Thats-it-Thats-the-Blog The image above shows the relative
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Twas 3 Nights Before Christmas: Updated NASDAQ Version [Quantifiable Edges]Ive posted and updated the Twas 3 Nights Before Christmas study on the blog here several times since 2008. The study will kick in at the close today (12/21). This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the Nasdaq Composite has some of the best stats. NASDAQ Rally Around Christmas The stats in this table