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PDT Notes: May 2011 – A Killer Month For Value/Size Investors
By Student  •  June 4, 2011

This week’s PDT Notes, a (popular?) weekly series that looks backward on selected recent events in the markets, covers the end of May, so I could not pass up the chance to cover it. It was a little delayed because I had to program another module to add on to my increasing custom Matlab finance library. I have also updated my regular Data series in the usual box at the bottom.

The Month in Review

With the market falling as I had warned two weeks ago, the news is bad enough if you remained net long the market. However, if you were invested in value stocks and small caps, you were especially hard hit this month. I did an analysis of SGX listed stocks.

Value got more.. valuable

This is what happened to Value stocks in the month of May:

The “cheapest” stocks just got cheaper, while the ...

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By Student
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