This is a summary of links featured on Quantocracy on Thursday, 11/03/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
The Risk of Low Volatility Strategies [Investing Research]Most factor-based, otherwise known as Smart Beta, ETF strategies are based on a single concept like value or momentum. Over the last two years, the largest flows have been to ETFs investing in low volatility stocks. The most popular being the iShares Edge MSCI Min Vol USA ETF (USMV), which as of September 30th had grown to $14.4bn USD, more than doubling over the last 12 months. With product
A Reversal-Based Trading Strategy Around Earnings Announcements [Quantpedia]This study documents that earnings announcements serve as a reality check on short-term, fear and greed driven price development: stocks with extreme abnormal returns in the week before an earnings announcement experience strong price reversal around the announcement. A trading strategy that exploits this reversal is profitable in 40 of the last 42 years and earns abnormal returns in excess of
Financial Time-Series Segmentation Based On Turning Points in Python [Quant at Risk]A determination of peaks and troughs for any financial time-series seems to be always in high demand, especially in algorithmic trading. A number of numerical methods can be found in the literature. The main problem exists when a smart differentiation between a local trend and global sentiment needs to be translated into computer language. In this short post, we fully refer to the