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Quantocracy’s Daily Wrap for 01/16/2019

This is a summary of links featured on Quantocracy on Wednesday, 01/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Historical View Of Extreme Short-Term Gains In $OEX Components [Quantifiable Edges]

    As I write this around 11am EST both NFLX and CELG are threatening to close up > 50% from their December 24th closing price, just 14 trading days ago. While that sometimes happens with speculative smallcap stocks, it is very unusual to see a largecap S&P 100 stock accomplish such strong gains in such a short period of time. In fact, the last instance of a 50% close to close gain within 15
  • Factor investing in the currency market [Quant Dare]

    Factor investing is a broadly used approach in asset management, specially for the equity market, but, can we apply this idea in order to explain currency returns? The idea at the core of factor investing is that there are different sources of risk in the market and that the exposure of the different assets to these sources of risk explain asset returns over the long term. Lets start the post
  • Quarterly Analysis and Commentary: Q4 2018 [Alpha Architect]

    Weve posted our quarterly attribution materials on our performance site.(1) We enjoyed putting the materials together and think they will be informative for those who follow our Indexes. The materials and videos are part of our long-term plan is to continually improve our quarterly communications and education efforts. If you have suggestions/comments, please reach out and let us know. Lets

Quantocracy’s Daily Wrap for 01/15/2019

This is a summary of links featured on Quantocracy on Tuesday, 01/15/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Harvesting Risk Premia [Robot Wealth]

    Trading and investing doesnt have to be complicated. Check out this chart: source: Dimson, Marsh and Staunton, Triumph of the Optimists The blue line shows returns from US Stocks from 1900 to today. Thats a 48,000x increase in nominal value. The yellow line shows returns from US Bonds from 1900 to today. Thats a 300x increase in nominal value. So its pretty obvious what we need to do
  • The Most Volatile Stock Markets in the World [Quant Rocket]

    Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries. Methodology Using historical data from Interactive Brokers, I calculate the standard deviation of daily (close-to-close),
  • Equity investing is Riskier than You Probably Expected [Alpha Architect]

    The purpose of this study was to examine the changes in the distribution of the US equity risk premium as the return horizon varies from monthly, annually, 3 year, 5 year, 10 year, 20 and 30 year periods. The equity premium was calculated as the monthly difference between the Market and Treasury bill returns. Two types of simulations were conducted: (1) the first simulation treated the sample of

Quantocracy’s Daily Wrap for 01/14/2019

This is a summary of links featured on Quantocracy on Monday, 01/14/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Fragility Case Study: Dual Momentum GEM [Flirting with Models]

    Recent market volatility has caused many tactical models to make sudden and significant changes in their allocation profiles. Periods such as Q4 2018 highlight model specification risk: the sensitivity of a strategys performance to specific implementation decisions. We explore this idea with a case study, using the popular Dual Momentum GEM strategy and a variety of lookback horizons for
  • ESG Investing: Too Good To Be True? [Factor Research]

    ESG factors generated positive excess returns since 2009 Show positive exposure to Low Volatility & Quality and negative exposure to Value & Size Factor exposure is likely structural and not temporary INTRODUCTION BlackRock is aggressively launching products with high environmental, social, and governance (ESG) ratings. The firms CEO, Larry Fink, recently predicted that assets under

Quantocracy’s Daily Wrap for 01/13/2019

This is a summary of links featured on Quantocracy on Sunday, 01/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Most popular posts 2018 [Eran Raviv]

    2019 is well underway. 2018 was personally difficult, so I am happy its behind us. Without further ado, here is what my analytics report shows to be the three most popular posts for 2018: Create own Recession Indicator using Mixture Models (3:53 minutes average time on page) Portfolio Construction with R (5:03 minutes average time on page) Machine learning is simply statistics (3:49

Quantocracy’s Daily Wrap for 01/12/2019

This is a summary of links featured on Quantocracy on Saturday, 01/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quandl’s Third Annual Data Conference – Feb 28th, New York City [Quandl]

    Quandl, the leading platform for financial and alternative data, will host its third annual Quandl Data Conference (formerly the Alternative Data Conference) on February 28, 2019, at Convenes 46th St. location in New York City. We launched this event nearly three years ago to create awareness of what was then a new idea: alternative data, said Tammer Kamel, CEO of Quandl. Alternative
  • January Opex Weak [Quantifiable Edges]

    Opex week overall has typically been a bullish part of the month for the market. But over the last 20 years, January has been a major exception to this rule. The table below shows results of buying the Friday before options expiration week in January and then selling at the close of option expiration Friday, which is the 3rd Friday of the month. 2019-01-11-1 15 of the last 20 January opex weeks
  • Where to find free data for markets [Cuemacro]

    If you do any sort of analysis of markets, you need market data and related datasets. Without data, you are kind of stuck! There are of course many market datasets which are available to purchase from data vendors. However, what type of datasets are available for free (aside from crypto markets, where there is a massive amount of free data)? A surprising number of free data sources are available
  • Liquidity yields and FX [SR SV]

    Liquidity yields are convenience yields of financial securities that typically arise from high liquidity, suitability as collateral or preferred regulatory status. New research argues that relative changes in liquidity yields on government bonds across countries have a significant impact on exchange rate dynamics. Theoretically, an unexpected increase in the liquidity yield on government bonds in

Quantocracy’s Daily Wrap for 01/11/2019

This is a summary of links featured on Quantocracy on Friday, 01/11/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 01/09/2019

This is a summary of links featured on Quantocracy on Wednesday, 01/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How Bad Was 2018 s Volatility? [Alvarez Quant Trading]

    I have a Google Home in my bathroom that I play a morning routine while I shave, brush my teeth and get ready for the day. One step is to play The Indicator podcast from Planet Money. This morning they were talking about how 2018 was one of the most volatile years on record for the stock market. Of course that caught my attention and I wanted to discover how they measured that. The
  • Omega ratio, the ultimate risk-reward ratio? [Quant Dare]

    If you are working in finance, you have almost surely heard of risk-reward ratios and probably used some of them to evaluate the performance of a stock, ETF, or any other investment strategy. Among the different alternatives, the most popular risk-reward ratio is the so-called Sharpe ratio, first introduced by William F. Sharpe in 1966. It was originally termed reward-to-variability ratio and,

Quantocracy’s Daily Wrap for 01/08/2019

This is a summary of links featured on Quantocracy on Tuesday, 01/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Payday Anomaly Revisited [Alpha Architect]

    Unless you are a die-hard buy-and-hold investor, chances are that you need to rebalance your portfolio at some point. The question is when? And how often? And why at a specific time? Some strategies rebalance once a year, some multiple times a day. What if there were better times to rebalance? Last thing you want is to rebalance on a highly volatile day like August 31, 1998 and deal with a -6.5%
  • Ranking The Current US Stock Market Drawdown vs. History [Capital Spectator]

    Its anyones guess if the recent rebound in US equities will soon push the S&P 500 Index to a new high. What we do know is that the market has staged a solid bounce so far. For the eight trading days since Christmas Eves close, when the S&Ps current drawdown hit bottom, the index is up a solid 8.4%. Theres still a long climb ahead to recover the remaining ground lost since
  • Rare Zweig Breadth Thrust Signal Suggests Bullish Implications [Quantifiable Edges]

    The strong breadth we have seen recently has caused the 10-day exponential moving average of the NYSE Up Issues % to rise up to 62%. A move through 61.5% after being below 40% within the last 2 weeks is considered a Zweig Breadth Thrust trigger. This is a signal created by Martin Zweig. Over the long haul it has been a rare but powerful signal. Below is a list of all signals since 1970 along with
  • Video Digest: Process & Manager Diversification [Flirting with Models]

  • Herding and Mutual Fund Performance [Alpha Architect]

    What are the Research Questions? Can investors identify skilled and unskilled mutual fund managers by observing their tendency to herd? Do differences in herding behavior across funds predict mutual fund performance? Does skill drives the link between herding and future performance? Does herding reduce the probability that inexperienced managers are terminated? What are the Academic Insights? By

Quantocracy’s Daily Wrap for 01/07/2019

This is a summary of links featured on Quantocracy on Monday, 01/07/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • You Would Have Missed 961% In Gains Using The CAPE Ratio, And That s A Good Thing [Meb Faber]

    961%. Thats the amount of gains you would have missed had you followed the market timing strategy Im going to describe in the following article that utilizes the CAPE ratio. Yes, thats significant. But theres far more to this story, and I suspect that had you acted on this strategy, youd have actually been quite happy to miss out on those gains. Lets start by rewinding a few
  • An Anatomy of Smart Beta Value ETFs [Factor Research]

    Smart beta Value ETFs are relatively homogenous Some show high exposures to other equity factors, which may represent risk Excess returns from smart beta are significantly lower than long-short factor returns INTRODUCTION The last ten years can be viewed as a lost decade for Value investors as excess returns were almost consistently negative. Although ETF investors have allocated more capital to
  • Is Multi-Manager Diversification Worth It? [Flirting with Models]

    Portfolio risk is traditionally quantified by volatility. The benefits of diversification are measured in how portfolio volatility is changed with the addition or subtraction of different investments. Another measure of portfolio risk is the dispersion in terminal wealth: a measure that attempts to capture the potential difference in realized returns. For example, two equity managers that each
  • The fundamental value trap [SR SV]

    Fundamental value seems like a straightforward investment approach. One simply looks for assets that are cheap or expensive relative to their rationally expected risk-adjusted discounted cash flows. In reality, conscientious estimation of fundamental value gaps is one of the most challenging strategies in asset management. It requires advanced financial modeling and often long waiting
  • 2018 Volatility Recap [Quintuitive]

    2018 brought more volatility to the markets, which so far has spilled into 2019. Lets take a look at the long term volatility history picture using the Dow Jones Industrial Average: Indeed, 2018 was the most volatile year since 2011. Relatively speaking however, the volatility is on the low end for a bear market, which I believe started in late December. The above chart was produced using the

Quantocracy’s Daily Wrap for 01/05/2019

This is a summary of links featured on Quantocracy on Saturday, 01/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Reproducible Finance with R – Book Review [Eran Raviv]

    Reproducible Finance with R is a clever book, with modern treatment of classical concepts. Here below is what I liked- and disliked about the book. Back when I was practicing Judo, there was a guy in my group who mastered that one exercise (called Uchi Mata). He could go fighting 20 consecutive fights without losing once, flooring all his opponents by doing what he did best. Thats how I think
  • New Year s Quant resolutions [Cuemacro]

    So this is Christmas / And what have you done? / Another year over / And a new one just begun, as John Lennon once sung. Whilst Christmas is a time to reflect on the past year, the New Year is instead a time to look forward. This may involve New Years resolutions, or possibly not. On the personal side, Ive tried to come up with some New Years resolutions and inevitably they resolve around