Quant Mashup
Ivy Portfolio February Update [Scott's Investments]
Scott’s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that
- 10 years ago, 1 Feb 2015, 09:10pm -
January’s false start marks return to normal for stocks [MktStk]
We have been thinking a lot about winning streaks lately. Looking at charts of the S&P 500 index it is hard not to be impressed by how many positive monthly returns we have had since the “resolution” of the last full-blown Euro crisis in mid-2012. We wanted to gain some historical
- 10 years ago, 31 Jan 2015, 04:01pm -
Comparing Flexible and Elastic Asset Allocation [QuantStrat TradeR]
So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset Allocation as an incomplete algorithm — namely that although it was an excellent method for selecting securities, that there had to have been a better way to
- 10 years ago, 30 Jan 2015, 04:57pm -
Everything Old is New Again [Meb Faber]
Reading old investment books is somewhat of a hobby of mine (I know probably need a better hobby). Glancing up on my bookshelf there are titles most have never heard of such as Once in Golconda, The Zurich Axioms, and Supermoney. I was flipping through another book new to me that I found when
- 10 years ago, 30 Jan 2015, 04:56pm -
Manliness implies Misreporting? [Alpha Architect]
We examine the relation between a measure of male CEOs’ facial masculinity and financial misreporting. Facial masculinity is associated with a complex of masculine behaviors (including aggression, egocentrism, risk-seeking, and maintenance of social status) in males. One possible mechanism for
- 10 years ago, 30 Jan 2015, 04:56pm -
Off to Bad Start. Down Januaries after 3 or more up years $SPY [@NautilusCap]
Off to Bad Start. Down Januaries after 3 or more up years $SPY
- 10 years ago, 30 Jan 2015, 04:55pm -
End of Month down 1 pct triggered 1/30/2015 [Gambulator]
See this (In Dec, it did not actually get triggered because it was down a little less than 1 pct) End of Month down 1 pct (ish) triggered 12/31/2014
- 10 years ago, 30 Jan 2015, 04:55pm -
Correction to Momentum Strategy Winners [CXO Advisory]
We have corrected the Momentum Strategy winners list for January 2015 (to be held during February 2015). The third place winner was incorrect due to omission of a dividend.
- 10 years ago, 30 Jan 2015, 12:56pm -
A Look At Struggling “1st Of The Month” Bullishness [Quantifiable Edges]
Friday is the last trading day of January. The first day of the month is well known for having a seasonal bullish tendency. Interestingly, I have noted this tendency has not been prevalent over the last few years. This can be seen in the equity curve below.
- 10 years ago, 30 Jan 2015, 09:39am -
Energy idiosyncratic volatility [Eran Raviv]
Recently, volatility has been on the up. Generally, we associate rising volatility with a bear regime, but we also know there is a percolating oil shock. Is the volatility we see in the stock market broad-based, or is it the effect brought about by sharp the drop in oil prices (so related to the
- 10 years ago, 29 Jan 2015, 03:03pm -
Help on an Academic Research Project... [Alpha Architect]
Readers, I need your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader for Alpha Architect. That said, I still conduct "serious" academic research with various colleagues in my
- 10 years ago, 29 Jan 2015, 03:02pm -
RUT Iron Condor - Dynamic Exit Overview - 66 DTE [DTR Trading]
In this post, we will continue the work from the last post, RUT Iron Condor - Dynamic Exit Overview - 80 DTE, but this time we will look at the performance of several dynamic exits for the 66 days-to-expiration (DTE) RUT Iron Condors (IC). We are going to backtest dynamic exits on three basic IC
- 10 years ago, 29 Jan 2015, 03:02pm -
Synthetic Volatility Index Quantified [Quantlab.co.za]
In part 1 and 2 of our volatility series I discussed a technique that I've developed to monitor broad market volatility with a Synthetic Volatility Index. Today I'm going to quantify our index by applying it to a liquid universe of equities as a simple entry filter. If volatility indeed
- 10 years ago, 29 Jan 2015, 02:56am -
Small-caps hanging in there $IWM [@NautilusCap]
Small-caps hanging in there $IWM
- 10 years ago, 29 Jan 2015, 02:55am -
Dual momentum with Value and Momentum factor portfolios [RRSP Strategy]
Dual Momentum is a robust portfolio allocation tool. Relative 12 month returns are used to rank assets. Shelter is sought in a safe asset when 12 month absolute returns fall below a threshold. Gary Antonacci describes Global Equities Momentum using US …
- 10 years ago, 28 Jan 2015, 11:58pm -
Predict Stock Returns Using the TREND of Profitability [Alpha Architect]
This study shows that the recent trajectory of a firm’s profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is incremental beyond that provided by the profit level, and it is not subsumed by other well-known determinants of
- 10 years ago, 28 Jan 2015, 01:45pm -
Machine Learning in Finance Workshop [Only VIX]
The Data Science Institute at Columbia University and Bloomberg are holding a workshop on Machine Learning in Finance. The presentations look interesting and the price is right - just $30 if you have a valid student ID, or $100 if you don't. Some research articles are already available for
- 10 years ago, 28 Jan 2015, 01:45pm -
Trading stock splits [Alvarez Quant Trading]
Trading stock splits is something that I have read about for long time but never researched. This article, A simple way to beat the market with stock splits, caught my eye and gave me the push to investigate the topic. This falls into the category of a topic I have heard a lot about that …
- 10 years ago, 28 Jan 2015, 09:28am -
A Revelation For Small-Cap Investing Strategies [Capital Spectator]
Suddenly business as usual for small-cap investing is in need of a makeover, thanks to a new research paper (a landmark study for asset pricing) that revisits, reinterprets and ultimately revives the case for owning these shares — after controlling for quality, i.e., “junk”. Cliff Asness of
- 10 years ago, 28 Jan 2015, 05:40am -
Fed Days After 1% Drops [Quantifiable Edges]
Selloffs as strong as we saw on Tuesday have been fairly rare just ahead of a Fed Day. In fact it was the 1st time since October 2012 that SPY closed down over 1% on the day before a Fed Day. Below are results of all instances since SPY’s inception in 1993.
- 10 years ago, 28 Jan 2015, 04:28am -
Applied Portfolio VaR Decomposition. (2) Impact vs Moving Elements. [Quant at Risk]
Calculations of daily Value-at-Risk (VaR) for any N-asset portfolio, as we have studied it already in Part 1, heavily depend on the covariance matrix we need to estimate. This estimation requires historical return time-series. Often negligible but superbly important question one should ask here is:
- 10 years ago, 27 Jan 2015, 04:29pm -
Does "Sharpe Parity" work better than "Risk Parity?" [Alpha Architect]
Strategies employing Risk Parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies is the great story associated with the approach and the historical performance over the past 30 years has been favorable. However, there is an
- 10 years ago, 27 Jan 2015, 04:26pm -
Consolidated Source of Data for Bitcoin [Tr8dr]
It seems like every other month there is a new bitcoin exchange. For the purposes of trading research & backtesting it is important to have historical data across, at least, the most liquid exchanges. My list would be at least: USD/BTC bitfinex (15%) bitstamp (5%) coinbase (new, but likely to
- 10 years ago, 27 Jan 2015, 04:24pm -
Review of Global Market Correlations: 1995-2014 [Oxford Capital]
We reviewed market correlations for eight core groups: (a) Equities, (b) Interest Rates, (c) Currencies, (d) Energy, (e) Metals, (f) Grains & Oilseeds, (g) Livestock, (h) Softs & Woods. Setup: Market Returns = ln(Close[n] / Close[n − LookBack]), where LookBack = 10 bars. Correlation window
- 10 years ago, 27 Jan 2015, 03:05pm -
Down January Pressures February $SPY $QQQ $DIA [Stock Trader's Almanac]
In pre-election years, February’s performance generally improves with average returns all turning positive. NASDAQ performs best, gaining an average 2.4% in pre-election-year Februarys since 1971. Russell 2000 is second best, averaging gains of 2.1% since 1979. DJIA, S&P 500 and Russell 1000,
- 10 years ago, 27 Jan 2015, 03:05pm -
Volatility Risk Premium Strategy – And The (Preliminary) Outperformer Is... [Trading the Odds]
A couple of weeks ago I started a series of postings, all dealing with trading volatility ETNs / ETFs like XIV® (VelocityShares Daily Inverse VIX Short-Term ETN) and VXX (iPath® S&P 500 VIX Short-Term Futures™ ETN) and respective trading strategies. One of those strategies was DDN’s VRP
- 10 years ago, 27 Jan 2015, 04:29am -
Factors driving this year's SP500 performance $SPY [@NautilusCap]
Factors driving this year's SP500 performance $SPY
- 10 years ago, 27 Jan 2015, 04:28am -
After Monday’s Big Effort For A Small Gain [Quantifiable Edges]
The mild action on Monday did not trigger a whole of studies Monday afternoon but the one below was fairly compelling. It suggests that when SPY closes strong (in the top 10% of its range) but still only manages a small gain on the day, that the next day has a downside tendency.
- 10 years ago, 27 Jan 2015, 04:21am -
Interviewing the Quants: An Inside Look With “Sanz Prophet” [Sanz Prophet]
Interviewing the Quants: An Inside Look With “Sanz Prophet”
- 10 years ago, 27 Jan 2015, 12:43am -
Stock Market and the Super Bowl [CXO Advisory]
Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super
- 10 years ago, 26 Jan 2015, 07:00am -
A Simple Tactical Asset Allocation Portfolio with Percentile Channels [CSS Analytics]
I prefer presenting new tools and concepts, but I know that there are a lot of readers that would like to see how they can be applied to creating strategies. So here is a very simple strategy that applies Percentile Channels from the last post to a tactical asset allocation strategy. The strategy
- 10 years ago, 26 Jan 2015, 03:38am -
A Momentum-Based Trading Signal With Strategic Value [Capital Spectator]
Traders and investors tend to operate in parallel universes, using different analytical toolkits and looking at markets from radically different perspectives. But sometimes there’s common ground. David Varadi’s recent investigation of what he calls error-adjusted momentum (EAM) to normalize
- 10 years ago, 26 Jan 2015, 03:38am -
RUT Iron Condor - Dynamic Exit Overview - 80 DTE [DTR Trading]
It has taken a long time to get to this point, but we are finally finished reviewing the backtests for our three basic starting structures for the Iron Condor (IC). The three basic starting structures backtested were: Standard: 10 put credit spreads, and 10 call credit spreads (72 total backtests /
- 10 years ago, 26 Jan 2015, 03:37am -
A New Harry Long Strategy and A Couple of New PerfA Functions [QuantStrat TradeR]
So, Harry Long came out with a new strategy on SeekingAlpha involving some usual mix of SPXL (3x leveraged SPY), TMF (3x leveraged TLT), and some volatility indices (in this case, ZIV and TVIX). Now, since we’ve tread this path before, expectations are rightfully set. It’s a strategy that’s
- 10 years ago, 24 Jan 2015, 02:05pm -
Update to MKTSTK’s first book release: Intro to Social Data for Traders [MKTSTK]
We wanted to provide an update to everyone who signed up for a free copy of MKTSTK’s first book, Intro to Social Data for Traders by our very own Thomas Pendergrass. This book is intended for traders and investors that want to gain an edge on the competition by including social media and search
- 10 years ago, 24 Jan 2015, 02:05pm -
Do Any Style ETFs Reliably Lead or Lag the Market? [CXO Advisory]
Do any of the various U.S. stock market size and value/growth styles systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we consider the the following six exchange-traded funds (ETF) that cut across capitalization (large, medium
- 10 years ago, 23 Jan 2015, 07:00am -
Weekend Geekout: The History of Low Volatility Investing [Alpha Architect]
Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since 2008, which definitely worth your time to read. Recently he posted an article about the history of Low Volatility Investing and
- 10 years ago, 23 Jan 2015, 06:14am -
Engineering a Synthetic Volatility Index – Part 2 [Quantlab.co.za]
In last week's post I discussed two basic requirements for our proposed synthetic index: 1) it must accept price as its sole input for its calculation and 2) it must exhibit a high correlation with the VIX when applied to the S&P 500. An indicator that satisfies both of these requirements
- 10 years ago, 23 Jan 2015, 06:13am -
The Long-Suffering “Average” Investor [Capital Spectator]
Earning a respectable investment is hard. Holding it on to it is even harder, according to a variety of studies over the years that have analyzed the portfolios that investor build and own. The news is at once disturbing and baffling. Disturbing because a large population of individuals have earned
- 10 years ago, 23 Jan 2015, 06:12am -
Style Performance by Calendar Month [CXO Advisory]
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and value/growth styles deviate from an overall
- 10 years ago, 23 Jan 2015, 01:00am -
Dual momentum without the benefit of the bond bull market [RRSP Strategy]
Dual momentum, popularized by Gary Antonacci, uses 12 month returns to: rank and select the top asset (RELATIVE) shelter in a safer asset if the absolute value falls below a threshold (ABSOLUTE) Many tactical strategies use bonds as the safer …
- 10 years ago, 22 Jan 2015, 10:50pm -
Why Indexing and "Smart Beta" Are So Popular [Alpha Architect]
We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and
- 10 years ago, 22 Jan 2015, 12:37pm -
Analysis of S&P 500 Returns Above & Below The 200 Day SMA $SPY $SPX [Theta Trend]
The 200 day SMA is a widely watched indicator of health for the U.S. Stock market. When price is trading above the 200 day SMA, most market participants can agree that a longer term up-trend is either in place or developing. When price is trading below the 200 day SMA, most people recognize that the
- 10 years ago, 22 Jan 2015, 12:37pm -
Do Any Sector ETFs Reliably Lead or Lag the Market? [CXO Advisory]
Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR), all
- 10 years ago, 22 Jan 2015, 07:00am -
Sector Performance by Calendar Month [CXO Advisory]
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various stock market sectors deviate from an overall market
- 10 years ago, 22 Jan 2015, 01:00am -
Percentile Channels: A New Twist On a Trend-Following Favorite [CSS Analytics]
One of the most widely used trend-following approaches are Donchian Channels which were popularized by the famous “Turtle Traders.” In fact, it was the subject of Donchian Channels that started my collaboration with Corey Rittenhouse with the popular post Percent Exposure Donchian Channel
- 10 years ago, 21 Jan 2015, 10:40pm -
And the Winner Is... [Dual Momentum]
Until recently, the longest back test using stock market data was Geczy and Samonov’s 2012 study of relative strength momentum called “212 Years of Price Momentum: The World’s Longest Backtest: 1801-2012”. The length of that study has now been exceeded by an 800 year backtest of trend
- 10 years ago, 21 Jan 2015, 07:53pm -
Forex Trading Diary #1 - Automated Forex Trading with the OANDA API [Quant Start]
I previously mentioned in the QuantStart: 2014 In Review article that I would be spending some of 2015 writing about automated forex trading. Given that I myself usually carry out research in equities and futures markets, I thought it would be fun (and educational!) to write about my experiences of
- 10 years ago, 21 Jan 2015, 02:05pm -
An Introduction to Change Points (packages: ecp and BreakoutDetection) [QuantStrat TradeR]
A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project requested from me by Brian Peterson, and it follows a new paper that he’s written on how to thoroughly replicate research papers. While I’ve replicated results from papers before (with FAA and
- 10 years ago, 21 Jan 2015, 02:05pm -