Quant Mashup - Factor Wave
Stops III [Factor Wave]
The previous simulation was performed for only a specific process: geometric Brownian motion with a positive drift. It is possible, if a little harder, to do similar analyses for cases where the trade has a more complex, realistic set of outcomes. We can add fat-tails, crashes and skewness. We can
- 8 years ago, 22 Jun 2015, 08:04pm -
The Turn of the Month Effect [Factor Wave]
The six FactorWave factors are size, value, quality, momentum, low beta and the market. These have all been studied in many markets and across many time-frames by both academic researchers and practitioners. The amount of evidence for their existence and profitability is overwhelming. However they
- 8 years ago, 22 Jun 2015, 10:51am -
Stops II [Factor Wave]
In this post I surmised about the effect of stops and got about as far as I could by speculating from my armchair. So I simulated ten thousand investments. Before there is any stop we have a distribution with a mean of 10% and a standard deviation of 20%. This is similar to the performance of the
- 8 years ago, 21 Jun 2015, 12:49am -