Quant Mashup
Did Ben Graham Value Investing Work in the Recent Bull Market? [Alpha Architect]
Forbes outlines one of Ben Graham’s basic value investment strategies and analyzes how it has performed from 1949 through 2012. Even with all of the fiscal cliff and European debt drama in 2012, the Graham-based portfolio has had a particularly good year. While the S&P 500 has notched a solid
- 5 years ago, 2 Jun 2015, 02:11pm -
Price Momentum Model | Trading Strategy (Benchmark) [Oxford Capital]
I. Trading Strategy Concept: Trend-following trading strategy based on a simple price momentum. Source: Kaufman, P. J. (2013). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Research Goal: Performance verification of the price momentum model. Specification: Table 1. Results:
- 5 years ago, 2 Jun 2015, 02:11pm -
State of Trend Following in May [Au Tra Sy]
Another successive down month for the index. Enough to take it into negative territory for the year. Please check below for more details. Detailed Results The figures for the month are: May return: -2.38% YTD return: -2.62% Below is the chart displaying individual system results throughout May:
- 5 years ago, 2 Jun 2015, 02:10pm -
Harvesting the Size Factor Premium [Flirting with Models]
We recently published an article on S&P's Indexology blog that looks at some of the more practical aspects of harvesting the size premium - a premium earned by owning smaller stocks. In our U.S. Factor Defensive Equity strategy, we hold ETFs that aim to capture premiums from value, size,
- 5 years ago, 2 Jun 2015, 02:10pm -
Wisdom State of Trend Following - May 2015 [Wisdom Trading]
May 2015: Trend Following DOWN -2.67% — YTD: +4.99% The downward consolidation continues in May with a negative month. The index still stays positive Year-To-Date. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May: Wisdom State of Trend
- 5 years ago, 2 Jun 2015, 02:10pm -
Metals stocks poised to bounce back $XME [@NautilusCap]
Metals stocks poised to bounce back $XME
- 5 years ago, 2 Jun 2015, 02:09pm -
VIX Trading Strategies in May [Volatility Made Simple]
We’ve tested 23 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I can’t speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies we’ve tested are broadly representative of how the vast
- 5 years ago, 2 Jun 2015, 06:00am -
Testing the NASDAQ/S&P500 Relative Strength Ratio [Better System Trader]
In Episode 7 of the BetterSystemTrader podcast Rob Hanna from Quantifiable Edges discusses a market behaviour where the strength of the NASDAQ often leads strength in other markets. Here is what Rob had to say: Well one indicator I like to use that I have shown on the blog years ago and it is part
- 5 years ago, 2 Jun 2015, 05:59am -
Weekly Commentary - Volatility Through a Different Lens [Flirting with Models]
We would venture that there is a strong correlation between the amount of ink spilled about an asset class or sector and its volatility. So given that the energy sector fell nearly 5.5% in the last month without much interest is somewhat curious. Or, is it? First, let's establish whether our
- 5 years ago, 2 Jun 2015, 05:59am -
Additional interesting paper related to several momentum strategies [Quantpedia]
#8 - FX Momentum #14 - Momentum Effect in Stocks #21 - Momentum Effect in Commodities #118 - Time Series Momentum Effect Authors: Goyal, Jagadeesh Title: Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Link:
- 5 years ago, 2 Jun 2015, 05:59am -
Financial Imprecision [John Orford]
I only started drinking coffee when I started working crazy hours. Not to keep awake but as an excuse to pop out of the office for a few minutes and suck in some fresh air. Either coffee or cigarettes, thank goodness not the latter. In any case, I recently read about a guy who is reverse engineering
- 5 years ago, 2 Jun 2015, 03:47am -
S&P500 All time high [Stockdotnu]
he graph shows the all-time high on the S&P500, since year 1957 to 2015, and the line is moving and in close-up one can see how long each ATH has been going on. However, this is a smaller picture of the graph and the real is very big and I will not put it out due to the size. Longest ATH in a
- 5 years ago, 2 Jun 2015, 03:46am -
SPX Iron Condor - High Loss Threshold Results Summary [DTR Trading]
Over the last four blog posts we looked at eight different exit approaches for a standard SPX iron condor with 25 point wings. These exits included: STD - NA%:NA% - exit at 8 DTE. STD - NA%:50% - exit if the trade has a profit of 50% of its initial credit OR 8 DTE. STD - 100%:50% - exit if the trade
- 5 years ago, 1 Jun 2015, 01:31pm -
Ignore the Margin Debt Alarm [EconomPic]
Ignore the Margin Debt Alarm The margin debt alarm has seemingly been sounded every few months when investors realize absolute levels of margin debt has reached new all-time highs (inferring that risk taking has too reached all-time high levels and stocks are at risk). This brief post highlights why
- 5 years ago, 1 Jun 2015, 01:31pm -
Investors Pay Premiums For Bad Bets [Larry Swedroe]
The first formal asset pricing model—the capital asset pricing model—was built on certain assumptions, including that investors are risk-averse; will maximize the expected utility of absolute wealth; and care only about the mean and variance of return. However, academic research has found that
- 5 years ago, 1 Jun 2015, 06:49am -
Interview with Gary Antonacci [Better System Trader]
Gary Antonacci has over 35 years experience as an investment professional focusing on underexploited investment opportunities. His award-winning research on momentum investing combines relative strength price momentum with trend following absolute momentum. He is recognized as a foremost authority
- 5 years ago, 31 May 2015, 02:43pm -
Chapter 6 – The Global Market Portfolio [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- “We have a passion for keeping things simple.” – Charlie Munger, Vice-Chairman Berkshire Hathaway Why not just invest along
- 5 years ago, 31 May 2015, 05:38am -
Dual Momentum Investigation [John Orford]
In science. Proper science. Scientists are told to report the investigations that lead nowhere. Why is this important? One. So people don't unknowingly waste time down the same dead and can learn from the experience of others. Two. When you count the dead ends, sometimes statistical tests
- 5 years ago, 31 May 2015, 05:37am -
Ivy Portfolio June Update [Scott's Investments]
The Ivy Portfolio spreadsheet 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 have trading signals based on long-term
- 5 years ago, 31 May 2015, 05:36am -
Chapter 5 – The Permanent Portfolio [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I’ll send you a free copy. —- Harry Browne was an author of over 12 books, a one-time Presidential candidate, and a financial advisor. The basic portfolio that
- 5 years ago, 30 May 2015, 02:24am -
What Do Falling Corporate Profits Mean With Stocks Near Their Highs? [Dana Lyons]
If you’ve followed this blog for awhile, you may have noticed that we don’t cover fundamental or economic data too often. That is for a good reason: we don’t use it, at all. Occasionally, however, a data point will cross the radar that piques our interest for whatever reason. So it is with the
- 5 years ago, 30 May 2015, 02:22am -
Discussing Deep Value and the Acquirer’s Multiple at Harvard [Greenbackd]
A little over a month ago I travelled to Harvard to speak to Michael Parzen’s business statistics class on Deep Value and the acquirer’s multiple. Here is the recording of that talk. You can get a free list of the best deep value stocks in the largest 1000 names on The Acquirer’s Multiple. Buy
- 5 years ago, 30 May 2015, 02:20am -
Equally Weighted Portfolios [John Orford]
Old school German and Austrian professors operate on 'academic time'. When you are told to meet at 3, they really mean a quarter past. You wouldn't want to reverse the tables though. Better to be a quarter of an hour too early than too late. I never got the hang of academic time. Same
- 5 years ago, 30 May 2015, 02:18am -
Chapter 4 - The Risk Parity and All Seasons Portfolios [Meb Faber]
This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and I'll send you a free copy. -- "I know that there are good and bad environments for all asset classes. And I know that in one's lifetime, there will
- 5 years ago, 29 May 2015, 03:48am -
List of Funds or Trading Firms Using Artificial Intelligence or Machine Learning [Robust Tech House]
The following are the list of funds or trading firms using artificial intelligence or machine learning for their research and trading purposes. There are probably a lot more than this but many prefer to stay very quiet. The list and info here is compiled from public sources amongst the links
- 5 years ago, 29 May 2015, 03:48am -
Financial Real Time Data in Client Side Javascript [John Orford]
Few people that work in the financial world actually live in the now. Some live at the last month end; others at 't-1'. Only silicon, mad men and chattering Tweeters live on the edge. Following on from the Flow and Statelessness post, I used Lazy.js, a CORS proxy and the Markit On Demand
- 5 years ago, 29 May 2015, 03:13am -
What has Worked in June [Quintuitive]
Time to start looking at the next month. Let’s start with the top five performing futures (ordered by winning percentage): Future Total Months Winning Months Mean Return Median Return 30-Year Bond 37 68% (25) 9.62% 1.57% Canadian Dollar 37 68% (25) 0.07% 0.53% 10-Year Note 32 63% (20) 9.46% 1.45%
- 5 years ago, 28 May 2015, 04:55pm -
[Academic Paper] Test of Covariance Matrix Forecasting Methods [@Quantivity]
Test of Covariance Matrix Forecasting Methods
- 5 years ago, 28 May 2015, 02:13pm -
Basic Factor Analysis: Simple Tools to Understand What Drives Performance [Alpha Architect]
Investors should know what they are buying and why they are buying it. Unfortunately, more often than not, investment products are jammed down the throats of unsuspecting victims who are either ignorant, easy to influence, and/or don’t really care. We highlighted an extreme example of this in the
- 5 years ago, 28 May 2015, 12:48pm -
Momentum Environments [Systematic Relative Strength]
How consistent are Momentum returns? This is among the most frequently asked questions about Momentum (and about any investment strategy for that matter). One way to answer this question is to look at the following table from a white paper published by RBC Capital Markets. According to their
- 5 years ago, 28 May 2015, 12:47pm -
SPX Iron Condor - High Loss Threshold - 80 DTE [DTR Trading]
This post looks at a standard (STD) one-lot iron condor on the S&P 500 Index (SPX), initiated at 80 days-to-expiration (DTE). The results in this post were derived from approximately 3200 individual trades entered by the backtester. For background on the setup for the backtests, as well as the
- 5 years ago, 28 May 2015, 12:47pm -
Amazing paper related to several momentum strategies [Quantpedia]
#2 - Asset Class Momentum - Rotational System #3 - Sector Momentum - Rotational System #8 - FX Momentum #14 - Momentum Effect in Stocks #15 - Momentum Effect in Country Equity Indexes Authors: Geczy, Samonov Title: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies,
- 5 years ago, 28 May 2015, 07:27am -
[Academic Paper] Multivariate Conditional Outlier Detection [@Quantivity]
Multivariate Conditional Outlier Detection
- 5 years ago, 28 May 2015, 02:27am -
[Academic Paper] Feature Selection Risk [@Quantivity]
Feature Selection Risk
- 5 years ago, 28 May 2015, 02:22am -
[Academic Paper] Sparse Signals in the Cross-Section of Returns [@Quantivity]
Sparse Signals in the Cross-Section of Returns
- 5 years ago, 28 May 2015, 02:18am -
Using Leadership Index to Time S&P 500 [Systematic Investor]
To install Systematic Investor Toolbox (SIT) please visit About page. Following is code and plots used in RFinance 2015 presentation. We will use a C++ function to compute Lagged Correlations from the Run Leadership Rcpp post. First, let’s load historical prices for S&P 500. Please note that
- 5 years ago, 28 May 2015, 01:41am -
A Statistical Interpretation of Black Scholes [John Orford]
I love the tingling sensation when some new idea or revelation becomes clear. Perhaps not 100% clear, but you get close enough that you can almost taste it. That happened to me when I read about the Pythagorean interpretation of special relativity. Nice to understand 20th century physics first in
- 5 years ago, 28 May 2015, 01:40am -
Moved Quantscript to GitHub [Quintuitive]
Quantscript is an old project of mine, which was hosted on google.code. Since google.code is shutting down, I had to either scrap it or migrate it to GitHub. I am not using this code on a daily basis anymore, and since the project is relatively small – the natural thing would have been to scrap
- 5 years ago, 28 May 2015, 01:40am -
ETF Sector Rotation – Ideas from readers [Alvarez Quant Trading]
The post ETF Sector Rotation generated some good ideas on what to try differently. This post will focus on two ideas on the Select Sector SPDR ETFs. The next post will look at two ideas using Fidelity sector mutual funds. ETF Universe These tests will use the Select Sector SPDR ETFs. The list is
- 5 years ago, 27 May 2015, 01:23pm -
Using the Price-to-Book Ratio [Investor's Field Guide]
Having explored the history of the price-to-book ratio, we can now turn to its usefulness as a stock selection criterion. The data suggests a few important points about the price-to-book ratio: It has worked quite nicely in small-cap It has not worked as well in large-cap stocks Price-to-book
- 5 years ago, 27 May 2015, 01:22pm -
Risk-Managed Momentum Outperforms [Larry Swedroe]
Momentum has been found to be a persistent and pervasive factor in the returns not only of stocks, but of other asset classes (including bonds, commodities and currencies). Compared with the market, value and size risk factors, momentum in equities has earned both the highest premium and the highest
- 5 years ago, 27 May 2015, 01:21pm -
[Academic Paper] Which Trend Is Your Friend? (via @carlfischer101) [@Quantivity]
Which Trend Is Your Friend? (via @carlfischer101)
- 5 years ago, 27 May 2015, 12:08pm -
SPX After Quick Drops From 50-day Highs [Quantifiable Edges]
The study below is one I have shown here on the blog for a long time. It looks at relatively sharp selloffs from intermediate-term highs. It shows that there has been a strong tendency for situations like the current one to bounce. Results are updated. The stats all suggest an upside edge over the
- 5 years ago, 27 May 2015, 09:26am -
Weekly Commentary – The 60/40 Forecast: 0% through 2025 [Flirting with Models]
Benjamin Graham, father of value investing, once said: “in the short run, the market is like a voting machine but in the long run, it is a weighing machine.” The psychology factor that can dominate market returns and volatility in the short-run is often washed out in long-run annualized returns,
- 5 years ago, 27 May 2015, 03:47am -
A Breakout To Nowhere [Dana Lyons]
We’ve spent a good deal of “ink” over the past few months on the trendless, range-bound action that has characterized the U.S. stock market recently. This trading range has been, after all, the dominant factor in the equity market. And an epic, even record-setting, trading range it has been.
- 5 years ago, 27 May 2015, 03:46am -
Good News Bonds, Bad News Bonds [Jay On The Markets]
First the (potential) good news. The (potential) good news is that one trend in bonds that I wrote about a while back here and here may finally (potentially) be playing out the “right way.” Although, as there are still three more trading days left in the month of May, it is clearly a little
- 5 years ago, 27 May 2015, 03:46am -
Global Tactical Asset Allocation: Just the Facts [GestaltU]
Rob Seawright of Above the Market recently posted an article broadly skewering tactical asset allocation (TAA) strategies. He cites the failure of market gurus to pick market turns (from a CXO analysis we've discussed in the past), and a Morningstar study showing that TAA has under-performed
- 5 years ago, 26 May 2015, 01:08pm -
Daily Academic Alpha: High Lobby Efforts Equal Alpha? [Alpha Architect]
Corporate Lobbying and Firm Performance Corporate lobbying activities are designed to influence legislators, regulators and courts, presumably to encourage favorable policies and/or outcomes. In dollar terms, corporate lobbying expenditures are typically one or even two orders of magnitude larger
- 5 years ago, 26 May 2015, 01:07pm -
New related paper to #6 & #7 - Volatility Effect in Stocks and #20 - Volatility Risk Premium Effect [Quantpedia]
#6 - Volatility Effect in Stocks - Long-Short Version #7 - Volatility Effect in Stocks - Long-Only Version #20 - Volatility Risk Premium Effect Authors: Ilmanen Title: Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets? Link:
- 5 years ago, 26 May 2015, 01:07pm -
China up 50% in 3 months. Mixed EM historical record after similar momentum $FXI [@NautilusCap]
China up 50% in 3 months. Mixed EM historical record after similar momentum $FXI
- 5 years ago, 26 May 2015, 01:06pm -