Quant Mashup

The Rise Of Factor Investing And The Implications For Asset Allocation [Capital Spectator]

Once upon a time there was only one factor—the market, a la the capital asset pricing model. But after a half century of crunching the numbers since CAPM was born, “now we have a zoo of new factors,” as Professor John Cochrane observed a few years ago. In theory, identifying more factors opens

- 5 years ago, 21 Jan 2015, 03:45am -

Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations! [Alpha Architect]

This paper empirically studies how the interaction between short-term investors and analyst recommendations is related to a speculative component in stock prices. Using a new measure of the holding duration of institutional investors (called Stock Duration), we document that frequently traded stocks

- 5 years ago, 20 Jan 2015, 01:56pm -

A Time for Crude and a Time, um, Not for Crude? [Jay On The Markets]

I like to think of myself as a creative, independent thinker. Of course I’d also like to think of myself as handsome, charming and witty and look how that’s worked out. But I digress. Anyway, on my Twitter feed last week I posted a link to a piece from Stock Trader’ Almanac regarding a

- 5 years ago, 20 Jan 2015, 01:55pm -

No Other Month Can Match January’s Predicative Prowess $SPY [Stock Trader's Almanac]

For the accompanying table we went back to 1938 for the S&P 500 and the Dow — the year in which the January Barometer came to life — and back to 1971 for NASDAQ when that index took its current form. The accuracy ratios listed are based on whether or not the given month’s move — up or

- 5 years ago, 20 Jan 2015, 01:55pm -

Portfolio Analysis in R | A 60/40 US Stock/Bond Portfolio [Capital Spectator]

How’s that rebalancing strategy working out for ‘ya? Results will vary, of course, depending on when we run the analysis, the architecture of the strategy, and a number of other variables. Deciding if the results are satisfying or disappointing could be due to any number of factors, such as the

- 5 years ago, 19 Jan 2015, 04:30pm -

Graham Value Stock Portfolio January Update [Scott's Investments]

In January 2012 I announced a new portfolio, a Benjamin Graham “inspired” value stock portfolio. The Graham portfolio is an attempt to add a value strategy to Scott’s Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks ret

- 5 years ago, 19 Jan 2015, 04:30pm -

A Few Notes on A Random Walk Down Wall Street [CXO Advisory]

In the preface to the eleventh (2015) edition of his book entitled A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, author Burton Malkiel states: â€œThe message of the original edition was a very simple one: Investors would be far better off buying and holding

- 5 years ago, 19 Jan 2015, 01:00am -

Timing (And Trading) Implied Volatility [Trading the Odds]

The majority of readers will already be familiar with the fact that the CBOE Volatility Index® (VIX®) is not a tradable asset (it is just a number), and trading the VIX® in fact means trading its derivatives (futures) or even derivatives of derivatives (options on futures, ETFs/ETNs like XIV®

- 5 years ago, 18 Jan 2015, 01:33pm -

RUT Iron Condor Equity Curve Comparison - 66 DTE [DTR Trading]

In this post we will look at the equity curves for the three versions of the RUT "no touch" Iron Condor (IC) trades at 66 days to expiration (DTE). The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5

- 5 years ago, 18 Jan 2015, 01:32pm -

Applied Portfolio VaR Decomposition. (1) Marginal and Component VaR. [Quant at Risk]

Risk. The only ingredient of life that makes us growing and pushing outside our comfort zones. In finance, taking the risk is a risky business. Once your money have been invested, you need to keep your eyes on the ball that is rolling. Controlling the risk is the art and is the science: a

- 5 years ago, 17 Jan 2015, 01:28pm -

RTV and REY Model Updates [CXO Advisory]

We have updated the details of the Reversion-to-Value (RTV) Model and the Real Earnings Yield (REY) Model of the U.S. stock market to incorporate data for 2014.

- 5 years ago, 17 Jan 2015, 12:30pm -

An Update On EAA and a Volatility Strategy [QuantStrat TradeR]

Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry Georgakopoulos, with contributions from myself, is now available for order on Amazon. Already, it has garnered a pair of five-star reviews, and it deals not only with

- 5 years ago, 16 Jan 2015, 03:04pm -

Gross margin peak for INTC spells trouble for Semis $SMH [Nautilus Research]

Gross margin peak for INTC spells trouble for Semis $SMH

- 5 years ago, 16 Jan 2015, 03:04pm -

Trend Following Wizards close 2014 on a High [Au Tra Sy]

Collectively, the Wizards added another good month to an already very good 2014 (the come-back year for trend following). A near-100% of positive results for the year, with an average just shy of +25% and a handful of strong performers.

- 5 years ago, 16 Jan 2015, 10:42am -

End of Month Strategy in S&P 500 – Update [Quantified Strategies]

In July 2012 I published a strategy about an end of month strategy in S&P 500. Here are the criterias: Entry: Day 29, 30 or 31 of the month must be negative. Then enter on close. Exit: Two successive positive closes in a row, OR SPY hits a 1% target. (no stops). Here are the results from 2005

- 5 years ago, 16 Jan 2015, 04:57am -

A Computational perspective on Real GDP Growth (Part 1) [Stuart Reid]

Before I get into the meat of this article, I wanted to share some of my thoughts regarding this blog. Over the past few months the site has undergone many changes in the front and back end. The site has a more professional theme, mail subscriptions have been moved to a third party with more

- 5 years ago, 15 Jan 2015, 04:37pm -

Quantitative Value @ $19.99 is Back On!!! [Alpha Architect]

Hi everyone! I am happy to announce that our book shipment has arrived and Quantitative Value is back on the market at $19.99! We ordered 760 copies, but our daily sales have really accelerated as of late, so don't wait to grab a copy. David wasn't smiling this much when we were hand

- 5 years ago, 15 Jan 2015, 04:36pm -

QuantStrat TradeR’s VXV:VXMT Strategy [Volatility Made Simple]

This is a test of a strategy from Ilya Kipnis of QuantStrat TradeR for trading VIX ETPs like XIV and VXX. Ilya provides a framework for testing the robustness of a given set of trading parameters. I encourage you to read Ilya’s piece, but that isn’t the subject of this post. Here I test the

- 5 years ago, 15 Jan 2015, 06:19am -

Schwab Commission Free ETF Rotation System Backtest $SPY, $TLO, $PCY, $RWO, $SHY [Theta Trend]

I’ve been doing a lot of writing about Momentum Based ETF Rotation Systems lately and for good reason. The systems are low maintenance and have historically provided a good return in a variety of market conditions. In this post we’re going to look at backtest results for the Schwab Commission

- 5 years ago, 15 Jan 2015, 06:19am -

What Wednesday’s Partial Recovery Hints At For Thursday [Quantifiable Edges]

One thing that stood out about Wednesday’s action was that the market closed down but still enjoyed a strong reversal of the lows. In the study below I combined the multi-day pullback concept with the fact that the market saw a relatively strong close.

- 5 years ago, 15 Jan 2015, 04:15am -

Using 52-week highs in a S&P500 monthly rotation strategy [Alvarez Quant Trading]

One area of recent interest for me is trading rotational strategies on a monthly timeframe using S&P500 stocks and ETFs. Areas of exploration include Momentum and Dual Momentum. Recently I came across The Secret to Momentum is the 52-Week High??? on Alpha Architect, a blog I highly recommend on

- 5 years ago, 14 Jan 2015, 05:07pm -

Quantitative Momentum Research: Short-Term Return Reversal [Alpha Architect]

Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and stock price "overreaction." These explanations can be distinguished by examining returns over short time intervals since systematic changes in fundamental

- 5 years ago, 14 Jan 2015, 03:30pm -

Notes From Academia: Exercise Boundary Violations in American-Style Options [Only VIX]

Notes From Academia: Exercise Boundary Violations in American-Style Options Here is the link to the research paper - Exercise Boundary Violations in American-Style Options: The Rule, not the Exception Abstract: An exercise boundary violation (EBV) occurs when the current bid price for an American

- 5 years ago, 14 Jan 2015, 03:30pm -

RUT Iron Condor Equity Curve Comparison - 80 DTE [DTR Trading]

In this post we will look at the equity curves for the three versions of the RUT "no touch" Iron Condor (IC) trades at 80 days to expiration (DTE). The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5

- 5 years ago, 14 Jan 2015, 03:29pm -

Downloading Option Chain Data from Google Finance in R: An Update [Exegetic Analytics]

I recently read an article which showed how to download Option Chain data from Google Finance using R. Interestingly, that article appears to be a close adaption of another article which does the same thing using Python. While playing around with the code from these articles I noticed a couple of

- 5 years ago, 14 Jan 2015, 01:13am -

VRP and Other Measures of Implied Volatility from Trading the Odds [Volatility Made Simple]

This is a follow up to the posts here and here from the always excellent Trading the Odds. We’ve covered TTO’s work previously when we looked at their variation of a “VRP” strategy, comparing implied vs historical volatility to trade VIX ETPs like XIV and VXX. In these new posts, TTO looked

- 5 years ago, 13 Jan 2015, 08:14pm -