Source: PIMCO Blog
I have been tracking performance of US small cap value through the crisis via my Crisis Composite strategy, which is detailed in Quantitative Crisis Investing - Part 1 - The Crisis Composite Ranking System. I published this first piece in late April, and followed up with a real-time performance update, +59% In 6 Weeks - The 'Crisis Composite' Strategy (Small Cap Value) Crushes The Market, in early May.
In writing my next strategy performance update installment after 12 weeks past the market bottom (hopefully the bottom), I thought it may be