Quantocracy

Quant Blog Mashup

ST
  • Quant Mashup
  • About
    • About Quantocracy
    • FAQs
    • Contact Us
  • ST
Quant Mashup - Alpha Architect
Avoiding Momentum Crashes [Alpha Architect]
In our book “Your Complete Guide to Factor-Based Investing,” Andrew Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (CSMOM) and time-series (TSMOM), has provided a premium that has been found to be persistent across time and economic regimes, pervasive
- 7 months ago, 4 Aug 2022, 09:19pm -
Trend Following Says Commodities...But Nothing Else! [Alpha Architect]
Just recently we posted the trend-following weights for our Robust Asset Allocation model. Something interesting happened — the model suggested zero exposure to every asset, except commodities(1) source: https://alphaarchitect.com/indexes/trend/#trendasset My knee-jerk reaction was, “Wow, never
- 7 months ago, 3 Aug 2022, 08:56pm -
Do Stocks Efficiently Predict Recessions? [Alpha Architect]
What are the Research Questions? There is abundant literature on the relationship between the business cycle and future stock returns. The traditional view is that stocks are rationally priced to immediately reflect investors’ expectations about future economic activity and that expected excess
- 8 months ago, 1 Aug 2022, 11:57am -
The Expected Returns to ESG-Excluded Stocks [Alpha Architect]
As Sam Adams and I explained in our new book, “Your Essential Guide to Sustainable Investing,” while sustainable investing continues to gain in popularity, economic theory suggests that if a large enough proportion of investors choose to favor companies with high sustainability ratings (green
- 8 months ago, 28 Jul 2022, 11:30pm -
Relative Sentiment and Machine Learning for Tactical Asset Allocation: Out-of-Sample Results [Alpha Architect]
In our last installment, we reviewed the performance–across four regions–of a machine-learning-based Sentix relative sentiment model for tactical asset allocation. The regions included: the USA, Europe, Japan, and Asia ex-Japan (referred to as USA, EUR, JPN, and AEJ, respectively, in the charts
- 8 months ago, 22 Jul 2022, 11:26am -
Short Sellers Are Informed Investors [Alpha Architect]
Short sellers play a valuable role in keeping market prices efficient by preventing overpricing and the formation of price bubbles in financial markets. Market efficiency is important because an efficient market allocates capital efficiently. If short sellers were inhibited from expressing their
- 8 months ago, 22 Jul 2022, 11:25am -
Can We Measure Inflation with Twitter [Alpha Architect]
Twitter is an interesting dataset for researchers interested in consumer beliefs. (200 million monthly active users worldwide (Elon Musk may disagree!) and about 10 million active users in Italy in 2019 (AGCOM 2020)). Inflation expectations are at the heart of any consumption and investment decision
- 8 months ago, 18 Jul 2022, 11:38pm -
Momentum Everywhere, Including in Factors [Alpha Architect]
Empirical research, including the 2017 paper “A Century of Evidence on Trend-Following Investing,” has found momentum to be a persistent and pervasive factor in returns of not only stocks but other asset classes as well, including bonds, commodities, and currencies. Recent empirical research on
- 8 months ago, 14 Jul 2022, 11:25pm -
An Investor’s Guide to Crypto [Alpha Architect]
With a capitalization of $1.3 trillion, cryptocurrencies are now (2022) roughly 50% of the value of US dollars and coins. What was once a fad, has now become prominent and increasingly diverse from an investor’s point of view. In response, this article discusses five key features and concepts
- 8 months ago, 11 Jul 2022, 09:39pm -
Does Intangible-Adjusted Book-to-Market Work? [Alpha Architect]
Recent research shows that B/M is losing explanatory power (Asness et al. 2015, Fama-French 2015, Hou et al. 2015). Some have theorized that the decrease in effectiveness in B/M is due to the increasingly large value of intangible assets. Forty years ago the market was dominated by Kodak, General
- 8 months ago, 8 Jul 2022, 09:31pm -
Combining Factors in Multifactor Portfolios [Alpha Architect]
Christoph Reschenhofer contributes to the factor-based investment literature with his April 2022 paper, “Combining Factors,” in which he investigated the performance of multifactor portfolios formed via a combination of stock characteristics scores. He began by noting that while “the finance
- 8 months ago, 5 Jul 2022, 11:13am -
How I Invest My Own Money: Robust to Chaos [Alpha Architect]
A lot of people ask me how I invest my own money, and I am always happy to oblige. But I have never discussed the topic in the public (unlike my friend Meb, who has a great post dedicated to the subject). However, this past week Justin and Jack asked if they could grill me on my personal portfolio
- 9 months ago, 25 Jun 2022, 11:22am -
Can Machine Learning Identify Future Outperforming Active Equity Funds? [Alpha Architect]
Ron Kaniel, Zihan Lin, Markus Pelger, and Stijn Van Nieuwerburgh contribute to the asset pricing literature with their January 2022 study “Machine-Learning the Skill of Mutual Fund Managers” in which they used machine learning in the form of an artificial neural network to examine the universe
- 9 months ago, 23 Jun 2022, 10:36pm -
Using Institutional Investor's Trading Data in Factors [Alpha Architect]
Can the returns from running factor strategies be enhanced if institutional investors selectively and actively participate? Most of the evidence presented in this paper would suggest the answer is an unqualified YES. The authors argue this would require institutional investors to possess and then
- 9 months ago, 23 Jun 2022, 10:36pm -
Does Emerging Markets Investing Make Sense? [Alpha Architect]
This post focuses on the costs and benefits of including generic broad-based emerging market exposures in one’s portfolio (Note, we do not discuss factors/freedom/etc.). The analysis is not meant to be exhaustive and/or highly complex. Nor is it meant to sway the reader in one direction or the
- 9 months ago, 19 Jun 2022, 12:48pm -
Relative Sentiment and Machine Learning for Tactical Asset Allocation [Alpha Architect]
By the middle of 2019, we had been running an ensemble of relative sentiment(1) indicators in live asset management for several years. One of the components of that ensemble was a strategy that looked at Sentix sentiment indices. For those unfamiliar with Sentix (a German company), every week it
- 9 months ago, 15 Jun 2022, 12:07pm -
Factors Investing in Cryptocurrency [Alpha Architect]
Cryptocurrency investing is a widely debated topic and one can find plenty of debates on Twitter discussing the fed, fiat currencies, and inflation. Regardless of where you fall on the crypto spectrum, we try and focus on research-centric takes on various investment themes whenever possible. The
- 9 months ago, 15 Jun 2022, 12:06pm -
The Unintended Consequences of Single Factor Strategies [Alpha Architect]
Since the 1992 publication of “The Cross-Section of Expected Stock Returns” by Eugene Fama and Kenneth French factor-based strategies and products have become an integral part of the global asset management landscape. While “top-down” allocation to factor premiums (such as size, value,
- 9 months ago, 10 Jun 2022, 12:08pm -
Visualizing the Robustness of the US Equity ETF Market [Alpha Architect]
Market commentators sometimes suggest that the equity ETF market is just a bunch of “index funds” that all do essentially the same thing: deliver undifferentiated stock market exposure. How true is that statement? Fortunately, we can test the hypothesis that the ETF market is roughly a few
- 9 months ago, 8 Jun 2022, 09:12pm -
Do Connections Pay Off in the Bitcoin Market? [Alpha Architect]
Traditional asset pricing theory holds that the workings of information networks among investors are good descriptors of equity markets. Investors that are “better informed” about fundamentals and who trade earlier than less well informed investors will receive higher returns. As the” better
- 9 months ago, 7 Jun 2022, 11:34am -
Short-term Momentum [Alpha Architect]
Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well-researched asset pricing anomalies. In the asset pricing literature, momentum is generally defined over the short-, medium- and long-term in the
- 9 months ago, 4 Jun 2022, 11:08am -
Options Hedging & Leveraged ETFs in Market Swings [Alpha Architect]
Not long ago, GameStop stock rose like crazy in only a few hours with the effects of broker-dealer options hedging spurred by retail investor buying pressure. And from February to March 2020, options trading activity was also pointed to as a contributor to stock swings in the Covid-19 selloff. The
- 9 months ago, 2 Jun 2022, 12:07pm -
Strategies to Mitigate Tail Risk [Alpha Architect]
Investors care about more than just returns. They also care about risk. Thus, prudent investors include consideration of strategies that can provide at least some protection against adverse events that lead to left tail risk (portfolios crashing). The cost of that protection (the impact on expected
- 10 months ago, 27 May 2022, 11:20am -
Value Investing: Headwinds, Tailwinds, and Variables [Alpha Architect]
n my past life as a rower, I spent a lot of time figuring out which way the wind was blowing: Would it be a headwind and slow things down? Or would it be a tailwind and shorten the race? But a tailwind that went against the current could cause choppy water…which would slow things back down.
- 10 months ago, 22 May 2022, 11:17am -
Trend Following: Timing Fast and Slow Trends [Alpha Architect]
Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well-researched asset pricing anomalies. In our book “Your Complete Guide to Factor-Based Investing,” Andrew Berkin and I presented the evidence of a
- 10 months ago, 19 May 2022, 08:12pm -
Form 3 and Form 4 Alpha: Focus on What Insiders Don't Trade [Alpha Architect]
Plenty of research ( most recently, Cziraki et al. 2021) shows that insider buys contain value-relevant information while insider sales include little to no information. But what about the action of “not trading”? The authors of this study ask the following: Are the trades of portfolio insiders
- 10 months ago, 16 May 2022, 08:42pm -
Momentum Investing: What happens if we boot stocks over 10x P/S? [Alpha Architect]
Short answer up front–very little.(1) This was a simple question posed to me by one of our blog readers–what impact does excluding stocks trading at 10x P/S have on a Momentum portfolio? A good question–especially for those who are “value” investors that are interested in momentum. For
- 10 months ago, 13 May 2022, 11:59am -
Institutions Trading Against Anomalies: Are Their Trades Informed? [Alpha Architect]
Outperforming the market, before expenses, is a zero-sum game—if one group of active investors outperforms, another group of active investors must underperform. Is there a group of sophisticated investors who persistently exploit more naïve investors? The body of research has found that before
- 10 months ago, 13 May 2022, 11:59am -
Using Momentum to Find Value [Alpha Architect]
Value and momentum are two of the most powerful explanatory factors in finance. Research on both has been published for over 30 years(1). However, it was not until recently that the two had been studied in combination and across markets. Bijon Pani and Frank Fabozzi contribute to the literature with
- 10 months ago, 5 May 2022, 11:58am -
The Future of Factor Investing [Alpha Architect]
In this article, the authors expound on the importance of the factor “revolution” in finance. Factor investing has moved from a bedrock position to a future of innovation and disruption. With respect to factors the authors discuss where we have been and what can we look forward to. What are the
- 10 months ago, 5 May 2022, 11:58am -
Betting Against Beta: New Insights [Alpha Architect]
The 2014 study by Andrea Frazzini and Lasse Pedersen, “Betting Against Beta,” established strong support for low-beta (as well as low-volatility) strategies. The authors found that for U.S. stocks, the betting against beta (BAB) factor (a portfolio that holds low-beta assets leveraged to a beta
- 11 months ago, 29 Apr 2022, 04:16am -
The Implementation Costs of Indexed ETFs [Alpha Architect]
A common mistake made by many passive investors is that they view all index funds in the same asset class as “commodities(1)”, often considering only the expense ratio when making their investment choices. However, not all index funds are alike, and not all passively managed funds (what I refer
- 11 months ago, 21 Apr 2022, 09:51pm -
Can Market Maker Capital Constraints Result in Mispricing of ETFs? [Alpha Architect]
In this research, the authors explore the role of financial intermediaries in contagion or comovements in pricing efficiency. Specifically, lead market makers (LMMs) like Goldman Sachs, Cantor Fitzgerald, RBC Capital Markets, and others, have funding constraints that may influence their ability to
- 11 months ago, 21 Apr 2022, 09:51pm -
Bond Investing in Inflationary Times [Alpha Architect]
As the chief research officer of Buckingham Strategic Partners, the issue I am being asked to address most often is about fixed income strategies when yields are at historically low levels and inflation risk is heightened due to the unprecedented increase in money creation (through quantitative
- 11 months ago, 14 Apr 2022, 09:24pm -
Shorting ETFs: A look into the ETF Loan Market [Alpha Architect]
The growth of ETFs has been explosive (and we aren’t helping the matter via ETF Architect which facilitates low-cost high quality ETF white label services). At the end of 2020, there was roughly $5.4 trillion invested in ETFs in the United States, representing more than 25% of US market trading by
- 11 months ago, 11 Apr 2022, 12:19pm -
Is Sector-neutrality in Factor Investing a Mistake? [Alpha Architect]
Firm characteristics such as size, book-to-market ratio, profitability, and momentum have been found to be correlated with expected returns. The predictive power of these characteristics may stem from their industry component, their firm-specific component, or both. For example, while the study
- 11 months ago, 8 Apr 2022, 12:57pm -
Gaining an Edge via Textual Analysis of FOMC Meetings [Alpha Architect]
How investors understand and use central bank communications, aka FEDSPEAK, is oftentimes cryptic and difficult to analyze. This study attempts to provide some clarity to this issue by applying textual analysis to both high-frequency price and communication data, to focus on episodes whereby stock
- 11 months ago, 4 Apr 2022, 11:48pm -
Are Stock Market Bubbles Identifiable? [Alpha Architect]
We can define an investment bubble as an irrational strong price increase—implying a predictable strong decline. The efficient market hypothesis (EMH) implies both the absence of bubbles and that the future return is unpredictable. In his Nobel Prize lecture, the father of the EMH, Eugene Fama
- 1 year ago, 31 Mar 2022, 11:49am -
Which Articles Should You Read on SeekingAlpha.com? [Alpha Architect]
One of the most established tenets in social psychology science states, “When considering what content to share in their social interactions, people primarily contemplate what impressions their sharing could create among receivers and whether those impressions are consistent with who they are or
- 1 year ago, 28 Mar 2022, 08:44pm -
2022 Democratize Quant Conference Recap and Materials [Alpha Architect]
We recently hosted our Democratize Quant Conference (sign up here for updates). This post is a recap of what we heard and some resources we can make available to the public. Democratize Quant 2022 Agenda/Outline Session 1: State of the Asset Management Industry (with a focus on the ETF aspect) Dave
- 1 year ago, 26 Mar 2022, 11:11am -
Can Investment Flows Affect Prices? Yep. [Alpha Architect]
Traditional finance theory suggests that stocks prices always reflect their fair market values based on publicly available information. Or in academic parlance, the “semi-strong” form efficient markets hypothesis serves as the null. What are the implications of this hypothesis? Well, the
- 1 year ago, 26 Mar 2022, 11:11am -
A Deep Dive into the Low Beta Premium [Alpha Architect]
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. In addition,
- 1 year ago, 18 Mar 2022, 09:34pm -
Are Financial Crises Predictable? [Alpha Architect]
Who among us wouldn’t want to be the savior that predicts a market crisis and saves our clients from losses in capital — or even better — profits from them? A central topic of interest for academics is whether there are more precise tools to predict financial crises. Those who believe so
- 1 year ago, 14 Mar 2022, 11:43am -
Factor Investing Premiums and the Economic Cycle [Alpha Architect]
Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, the authors of the 2017 study “Fama-French Factors and Business Cycles” examined the behavior of six Fama-French factors—market beta (MKT), size (SMB), value (HML), momentum
- 1 year ago, 12 Mar 2022, 11:12am -
New Accounting Standards and Factor Investing [Alpha Architect]
How well do quantitative investors navigate around the changes to the accounting standards that are endemic to the financial data used in quantitative strategies? The numbers reported on financial statements are wholly governed by regulation and by each firm’s interpretation of those accounting
- 1 year ago, 8 Mar 2022, 09:53am -
Factor Investing: Are Internally Generated Intangibles Worthless? [Alpha Architect]
As mind-bending as it sounds, although a company’s internally generated intangible investments generate future value, they are currently not accepted as assets under US GAAP. Omission of this increasingly important class of assets reduces the usefulness and relevance of financial statement
- 1 year ago, 4 Mar 2022, 10:25am -
Does diversification always benefit investors? No. [Alpha Architect]
Diversification has been around since the early 1950s and is often considered a “free lunch” in finance. But is that actually the case? We’ve highlighted here and here that the reality is more complicated than the theory. Consider the two basic assumptions about correlations in the context of
- 1 year ago, 23 Feb 2022, 10:22am -
Factor Investing: Is a Human Capital Factor on the Horizon? [Alpha Architect]
From 1991 to 2018, capital expenditures as a percentage of total sales remained relatively flat, at about 10 percent. On the other hand, personnel expenses almost doubled during that time. In fact, by 2018 personnel expenses (the costs for hiring, wages, salaries, and bonuses; social security and
- 1 year ago, 18 Feb 2022, 10:12am -
Trend-Following Filters – Part 5 [Alpha Architect]
Previous articles in this series examine, from a digital signal processing (DSP) frequency domain perspective, various types of digital filters used by quantitative analysts and market technicians to analyze and transform financial time series for trend-following purposes. An Introduction to Digital
- 1 year ago, 15 Feb 2022, 07:29pm -
The Fed Put is Alive and Well [Alpha Architect]
The question of whether or not the FED considers or responds to the stock market in its policy decisions has been studied fairly extensively, however, the subject of the existence of the “FED put” continues to pop up in the literature. In this particular revival of the issue, the authors are
- 1 year ago, 8 Feb 2022, 09:50am -
  • Page
  • 1
  • 2
  • 3
  • ...
  • 18

Welcome to Quantocracy

This is a curated mashup of quantitative trading links. Keep up with all this quant goodness with our daily summary RSS or Email, or by following us on Twitter, Facebook, StockTwits and Mastodon. Read on readers!

Sources included on mashup:

Top Ranked by Readers


Allocate Smartly
EconomPic
Financial Hacker
Flirting with Models
Hudson and Thames
Investment Idiocy
Quant Start
QuantStrat TradeR
Robot Wealth
Turing Finance

 

Other Great Sources


Alex Chinco
Alpaca
Alpha Architect
Alpha Scientist
Alvarez Quant Trading
Artur Sepp
Asm Quant
Auquan
Better Buy And Hold
Better System Trader
Black Arbs
Blue Owl Press
Blue Sky AM
Build Alpha
Capital Spectator
CSS Analytics
Cuemacro
Dekalog Blog
DileQuante
DTR Trading
Dual Momentum
ENNlightenment
EP Chan
Eran Raviv
Factor Investor
Factor Research
Following the Trend
Foss Trading
Gekko Quant
Geodesic Edge
GestaltU
Invest Resolve
Investing for a Living
Jonathan Kinlay
Kid Quant
KKB Research
Koppian Adventures
Light Finance
Machine Factor Tech
Mark Best
Markov Processes
Mathematical Investor
Meb Faber
Only VIX
Open Source Quant
OSM
Oxford Capital
Patrick Aschermayr
Patrick David
Philipp Kahler
Philosophical Economics
Portfolio Optimizer
Propfolio Management
Python For Finance
Quant at Risk
Quant Connect
Quant Fiction
Quant For Hire
Quant Insti
Quant Journey
Quant Rocket
Quantifiable Edges
Quantpedia
Quants Portal
Quantum Financier
Quintuitive
R Trader
Ran Aroussi
Relative Value Arbitrage
Reproducible Finance
Return and Risk
Scalable Capital
Scott's Investments
Six Figure Investing
Sober Quant
SR SV
Sutherland Research
System Trader Show
Systematic Edge
Thiago Marzagao
Throwing Good Money
Timely Portfolio
Todo Trader
Top of the Bell Curve
Tr8dr
Trading with Python
TrendXplorer
Two Centuries Investments
Voodoo Markets
Wisdom Trading

 

Other Great Aggregators


Abnormal Returns
Academic Quant News
Carl Carrie
PyQuant News
Quant Conferences
R-Bloggers

Copyright © 2015-2023 · Site Design by: The Dynamic Duo