This is a summary of links featured on Quantocracy on Friday, 01/04/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
- Reminder: Big Up Days Occur With More Frequency in Bear Markets [Allocate Smartly]We cant say with certainty where the market goes from here whether the market will turn around in January or continue into bear territory and neither can anyone else. What we can say for certain however is that big up days like we saw today (SPY +3.35%) are not an indicator that this market is out of the woods. Contrary to conventional wisdom, big up days occur with more frequency in
- A Simple Analysis of 2018 U.S. Factor Returns [Alpha Architect]As the year turns, a common practice is to assess a portfolio and see how each position performed. The summary for stocks is easy: equities did not do well. Whether you were invested in U.S. stocks (down ~5%+), developed markets (down ~13%+), or emerging markets (down ~20%+), being invested in equities left few investors with positive returns. In short, 2018 was a rough year for investors. Even