Quantocracy

Quant Blog Mashup

ST

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

Quantocracy’s Daily Wrap for 07/10/2024

This is a summary of links featured on Quantocracy on Wednesday, 07/10/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Capital Market Assumptions: Combining Forecasts for Improved Accuracy [Portfolio Optimizer]

    Capital market assumptions1 (CMAs) are forecasts of future risk/return characteristics for broad asset classes over the next 5 to 20 years produced by leading investment managers, consultants and advisors2. These forecasts are well-reasoned, analytically rigorous assumptions about uncertain future market movements2 and are used almost universally among institutional investors2, for example as
  • Unified Approach for Hedging Impermanent Loss of Liquidity Provision [Artur Sepp]

    Let me introduce our research paper co-authored with Alexander Lipton and Vladimir Lucic for hedging of impermanent loss of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and V3 protocols. Uniswap V3 protocol allows liquidity providers to concentrate liquidity in specified ranges. As a result, the liquidity of the pool can be increased in certain ranges
  • Multi-Strategy Hedge Funds & Replication ETFs [Finominal]

    Despite stellar returns of some multi-strategy hedge funds, the category has not gained market share Multi-strategy hedge funds are highly correlated to equities, offering limited diversification benefits Replication ETFs offer the same unfavorable characteristics INTRODUCTION In 2022 multi-strategy hedge funds were hot. Citadel generated a return of 38.1%, DE Shaw 24.7%, and Millennium 12.4%,

Quantocracy’s Daily Wrap for 07/07/2024

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

  • Portfolio Optimization with PyBroker [Ed West]

    Portfolio optimization is a method for allocating assets in a portfolio in order to meet specific objectives. For example, it can be used to construct a portfolio of assets with the objective of minimizing risk while also maximizing returns. Portfolio optimization can be a useful technique for periodically rebalancing a portfolio of stocks. This approach allows us to buy and sell shares in the

Quantocracy’s Daily Wrap for 07/06/2024

This is a summary of links featured on Quantocracy on Saturday, 07/06/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Momentum-based Long & Short Equities Portfolio [Quant Trading Rules]

    I can calculate the motion of heavenly bodies but not the madness of people. Isaac Newton Sir Isaac Newton, one of the greatest scientists of all time, was also an investor. Newton reportedly invested in the South Sea Company, a British joint-stock company, and initially made substantial profits. However, he reinvested his profits and eventually suffered significant losses when the bubble