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Quantocracy’s Daily Wrap for 08/04/2024

This is a summary of links featured on Quantocracy on Sunday, 08/04/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trading ETFs while fear and greed rise [Quantitativo]

    "The first principle is that you must not fool yourself, and you are the easiest person to fool. Richard Feynman Richard Feynman was one of the great scientists and physicists of our time, truly one of the great minds of humanity. This is one of my favorite quotes from him. It emphasizes the importance of intellectual honesty and self-awareness in scientific inquiry and in life in general.

Quantocracy’s Daily Wrap for 08/03/2024

This is a summary of links featured on Quantocracy on Saturday, 08/03/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Value of WallStreetBets Investment Research Recommendations [Alpha Architect]

    Wallstreetbets has become an increasingly prominent source of investment research, particularly for risk-seeking retail investors. The excitement from the GameStop episode resulted in the forum growing from 500,000 users in July of 2018 to 10.7 million users by June 2021. Do their recommendations have value? A series of events has led to significantly increased interest in stock and options

Quantocracy’s Daily Wrap for 07/29/2024

This is a summary of links featured on Quantocracy on Monday, 07/29/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Excess Earnings Yield Dynamic Valuation Strategy [Allocate Smartly]

    This is a test of the Excess Earnings Yield Dynamic valuation strategy based on the paper Man Doth Not Invest by Earnings Yield Alone by White and Haghani of Elm Wealth. The strategy dynamically splits the portfolio between stocks and TIPS based on excess earnings yield, which is the cyclically-adjusted earnings yield (1 / CAPE) minus the real yield on 10-year TIPS. We have tested two

Quantocracy’s Daily Wrap for 07/27/2024

This is a summary of links featured on Quantocracy on Saturday, 07/27/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 07/25/2024

This is a summary of links featured on Quantocracy on Thursday, 07/25/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Bayesian Solutions and Linear Asset Pricing Models [Alpha Architect]

    What is a Bayesian solution? Good question. Bayesian statistics, named for Thomas Bayes, is a structured framework that allows one to update the probability of an event occurring as new data about that event becomes available. In the context of the infamous Factor Zoo in investing, Bayes rule provides an avenue for the investor to revise his/her beliefs about the likelihood that a stock will

Quantocracy’s Daily Wrap for 07/22/2024

This is a summary of links featured on Quantocracy on Monday, 07/22/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 07/19/2024

This is a summary of links featured on Quantocracy on Friday, 07/19/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Portfolio Hedging with Put Options [Robot Wealth]

    There are 2 good reasons to buy put options: Because you think they are cheap Because you want downside protection. You want to use the skewed payoff profile to protect a portfolio against large downside moves without capping your upside too much. The first requires a pricing model. Or, at the least, an understanding of when and under what conditions options tend to be cheap. The second doesnt
  • The Impact of Amortizing Volatility across Private Investments [Alpha Architect]

    While publicly traded stocks, bonds, and real estate have their prices constantly adjusted throughout the day, leading to lots of volatility, private capital managers have significant discretion as to when and how they mark-to-market or mark-to-model their portfolios (typically valued quarterly). Because their valuations are less frequent, private equity returns appear smoother. If the lagged
  • Research Review | 18 July 2024 | Artificial Intelligence and Finance [Capital Spectator]

    The Finance AI Challenge: An Evaluation of the Top Six Free Web-based AI Models David Krause (Marquette University) June 2024 This article evaluates six free web-based AI models-ChatGPT, Gemini, Copilot, Claude, Perplexity, and Meta AI-in their performance on finance-related tasks. Utilizing a structured approach, we assessed the models abilities to handle factual, conceptual, and computational

Quantocracy’s Daily Wrap for 07/16/2024

This is a summary of links featured on Quantocracy on Tuesday, 07/16/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Pragmatic Asset Allocation from Vojtko and Javorska of Quantpedia [Allocate Smartly]

    This is a test of Pragmatic Asset Allocation from Vojtko and Javorsk of Quantpedia. While the strategy is tactical (i.e. changes allocation over time in response to market conditions), its also designed to ensure tax efficiency. We track many tactical strategies that have been tax efficient, but none that enforce that efficiency through explicit rules (more on this later). Backtested
  • Managed Futures versus Market-Neutral Multi-Factor Investing [Finominal]

    Managed futures and market-neutral factor investing offered uncorrelated returns to stocks However, these two alternative strategies exhibited similar trends in correlations to equities Having exposure to both does not generate superior diversification benefits INTRODUCTION At first glance, the universe of alternative strategies is large and full of wonders. However, deeper analysis often reveals

Quantocracy’s Daily Wrap for 07/14/2024

This is a summary of links featured on Quantocracy on Sunday, 07/14/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Diversification for Trend Following Models [Algorithmic Advantage]

    In the realm of trend following, one prevailing assumption is that highly correlated assets should not be traded together, as they are unlikely to provide diverse opportunities. However, this article will challenge this notion by delving into the nuances of trade correlations versus price correlations. By examining the behavior of different trend following systems applied to highly correlated
  • A portfolio of strategies [Quantitativo]

    Don't look for the needle in the haystack. Just buy the haystack. Jack Bogle. Harry Markowitz's Modern Portfolio Theory (MPT) revolutionized the field of investment management by providing a quantitative framework for portfolio construction and diversification. He is considered the father of the MPT. However, it was Jack Bogle who popularized the practical application of these

Quantocracy’s Daily Wrap for 07/12/2024

This is a summary of links featured on Quantocracy on Friday, 07/12/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Lifting Power of Outliers [Algorithmic Advantage]

    In previous posts, weve explored how massive diversification serves as a crucial tool for outlier huntersnot only to provide correlation benefits in chaotic regimes but also to increase our chances of capturing rare market events. Its the frequency of these outliers in our trade distribution that significantly enhances our long-term performance. In this post, well delve into a classic
  • Extracting Structured Datasets for Systematic Strategies from Unstructured Textual Sources [Quant Rocket]

    Natural Language Processing (NLP) is a broad field that enables computers to process and analyze unstructured textual data. In this article, we present several proprietary Brain datasets derived from news articles, SEC regulatory filings, and earnings calls, along with case studies implemented in QuantRocket. For more details about the content discussed and the Brain methodology please refer to
  • Low-priced stocks: do they impair performance? [Alpha Architect]

    It is well documented in the literature that retail investors have an irrational preference (from a traditional finance perspective) for investing in high-volatility stocks which have lottery-like distributionsthose that exhibit positive skewness and excess kurtosis (fat tails). Studies, such as the 2023 papers Lottery Preference and Anomalies and Do the Rich Gamble in the Stock