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Blue Line Futures

June 14, 2019

Morning Express

U.S benchmarks notched a fundamentally and technically constructive session yesterday. Although it felt price action shrugged off soft CPI data on Wednesday, we believe this to have overall kept bidders glued to a tiring rally. First and foremost, there is absolutely nothing wrong for a rally to consolidate after running 6.7% (S&P) from low to high in just about a week.

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June 4, 2019

What Quant Value Models Can and Can’t Do for You

A few years ago Griffin wrote a very good piece — Ben Graham’s Value Investing ≠ Fama/French’s Factor Investing — explaining why buying stocks based on measures like book-to-market (the inverse of price-to-book) is nothing like the Ben Graham / intrinsic value way of investing.His comment and his previous piece got me thinking about how important it is to understand what quantitative value models can and can’t do.

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