Quantocracy

Quant Blog Mashup

ST

Quantocracy’s Daily Wrap for 05/13/2018

This is a summary of links featured on Quantocracy on Sunday, 05/13/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Position Sizing for Practitioners – Part 2: Dealing with Drawdown [Quant Fiction]

    What does optimal mean, anyway? In the first part of this series, we discovered that the staked fraction of capital that yields the greatest compounded returns also yields a less-than-optimal level of drawdown. To realize the greatest return on capital, an investor in SPY since its inception should have used over 3x leverage to buy in. This would have yielded the greatest compounded rate of
  • Correlations and the market [Cuemacro]

    When I have a burger I feel better. I feel that there is some causation here, in particular because of Ive got lots of statistical data to justify this! However, in practice, if we look away from burgers and at finance, its a bit more difficult to answer the conundrum of causation versus correlation. If variables are correlated, does it imply causation? Its a topic which repeatedly comes

Quantocracy’s Daily Wrap for 05/12/2018

This is a summary of links featured on Quantocracy on Saturday, 05/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using yield curve information for FX trading [SR SV]

    FX carry trading strategies only use short-term interest rates (and forward basis) as signal. Yet both theoretical and empirical research suggests that the whole relative yield curve contains important information on monetary policy and risk premia. In particular, the curvature of a yield curve indicates to some extent the speed of adjustment of the short rate towards a longer-term yield.

Quantocracy’s Daily Wrap for 05/09/2018

This is a summary of links featured on Quantocracy on Wednesday, 05/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Improving data diversity. Synthetic Financial Time Series Generator [Quant Dare]

    When dealing with data we (almost) always would like to have better and bigger sets. But if theres not enough historical data available to test a given algorithm or methodology, what can we do? Our answer has been: creating it. How? By developing our own Synthetic Financial Time Series Generator. Lets start using a metaphor to make our purpose clearer: imagine you are a researcher of such an
  • Introducing Fed-Based Quantifiable Edges for Stock Market Trading (Research Paper) [Quantifiable Edges]

    I have shown Fed-based studies here at Quantifiable Edges since inception in 2008. And since 2010 I have closely tracked SOMA movement and its influence on the market in the Quantifiable Edges subscriber letter. This has proven extremely valuable in my research and trading. Now, after years of Fed-related work, I have put together a detailed research paper: Fed-Based Quantifiable Edges for Stock
  • Seasonal Strategy on US Equities + Genovest tests Quantpedia strategy [Quantpedia]

    We revisit a series of popular anomalies: seasonal, announcement and momentum. We comment on statistical significance and persistence of these effects and propose useful investment strategies to incorporate this information. We investigate the creation of a seasonal anomaly and trend model composed of the Sell in May (SIM), Turn of the Month (TOM), Federal Open Market Committee pre-announcement

Quantocracy’s Daily Wrap for 05/07/2018

This is a summary of links featured on Quantocracy on Monday, 05/07/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Leverage and Trend Following [Flirting with Models]

    We typically discuss trend following in the context of risk management for investors looking to diversify their diversifiers. While we believe that trend following is most appropriate for investors concerned about sequence risk, levered trend following may have use for investors pursuing growth. In a simple back-test, a nave levered trend following considerable increases annualized returns and
  • Value Factor – Comparing Valuation Metrics [Factor Research]

    This research note was originally published at Alpha Architect. INTRODUCTION Mirror, mirror, on the wall which is the fairest of them all? Recent commentary (to include a recent Barrons article) seems to suggest that value is dead and may never come back. Of course, most of these comments revolve around the price-to-book valuation metric, which, as the Barrons article points out, might

Quantocracy’s Daily Wrap for 05/06/2018

This is a summary of links featured on Quantocracy on Sunday, 05/06/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Position Sizing for Practitioners – Part 1: Beyond Kelly [Quant Fiction]

    Albert Einstein once proclaimed that compound interest is the eighth wonder of the world (allegedly, at least; people attribute all kinds of sayings to that guy). Lets just assume that he did. This is the single most important reason why people participate in the markets. The magic of compounding interest turns time into an exponential money multiplier, and the greater the rate the more

Quantocracy’s Daily Wrap for 05/04/2018

This is a summary of links featured on Quantocracy on Friday, 05/04/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Different Way To Think About Drawdown Geometric Calmar Ratio [QuantStrat TradeR]

    This post will discuss the idea of the geometric Calmar ratio a way to modify the Calmar ratio to account for compounding returns. So, one thing that recently had me sort of annoyed in terms of my interpretation of the Calmar ratio is this: essentially, the way I interpret it is that its a back of the envelope measure of how many years it takes you to recover from the worst loss. That is,
  • Value Investing Portfolios are Not Dead, But Some Have Done Better than Others [Alpha Architect]

    Mirror, mirror, on the wall which is the fairest of them all? Recent commentary (to include a recent Barrons article) seems to suggest that value is dead and may never come back. Of course, most of these comments revolve around the price-to-book valuation metric, which, as the Barrons article points out, might have some issues: But theres a problem with price/book: todays economy.
  • A Historical Look At Employment Days [Quantifiable Edges]

    Friday the employment report will be released about an hour before the NYSE open. Employment days have an interesting history and they have contributed to some worthwhile studies over the years. Below is a chart of SPX performance on Employment Days going back to 1993. 2018-05-04 What I find interesting about the chart is that Employment Days have shown such streaky performance and the streaks
  • Research Review | 4 May 2018 | Equity Risk Premium [Capital Spectator]

    The Equity Risk Premium in 2018 John R. Graham and Campbell R. Harvey (Duke University) March 27, 2018 We analyze the history of the equity risk premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to December 2017. The risk premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. The average risk premium is

Quantocracy’s Daily Wrap for 05/03/2018

This is a summary of links featured on Quantocracy on Thursday, 05/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hedge Fund Data Hygiene: Tips and Tricks [Rayner Gobran]

    The results of data analysis are only as good as the data you use. There are a variety of hedge fund data vendors out there. You may have access via your Bloomberg terminal, or perhaps you have purchased access to data from a well-known hedge fund data vendor. Regardless of your data source there will always be issues with the data: The data vendor is constrained by database architecture decisions
  • Trend Following in April [Wisdom Trading]

    Please find below this months Wisdom State of Trend Following report. Performance is hypothetical Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann. Vol. Last month 1.28% 9.77% Year To Date -5.03% 16.19% Last 12 months -9.94% 13.31% Last calendar year (2017) -16.2% 10.96% Since Index Launch (08-13) -4.85% 13.81% Current DD -43.78% MaxDD (since 2000)

Quantocracy’s Daily Wrap for 05/01/2018

This is a summary of links featured on Quantocracy on Tuesday, 05/01/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation in April [Allocate Smartly]

    This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what we do or let AllocateSmartly help you follow these strategies in

Quantocracy’s Daily Wrap for 04/29/2018

This is a summary of links featured on Quantocracy on Sunday, 04/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Economics, finance and pseudoscience [Mathematical Investor]

    Bloomberg columnist Mohamed El-Erian recently lamented that the discipline of economics is divorced from real-world relevance and has lost credibility. Among the problems he mentions currently afflicting the field are the following: The proliferation of simplifying assumptions that lead to an overreliance on excessively abstract estimation techniques and approaches. Insufficient
  • VIX Mean Reversion After a Volatility Spike [Relative Value Arbitrage]

    In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment were going to further investigate the mean reverting properties of the VIX. Our primary goal is to use this study in order to aid options traders in positioning and/or hedging their portfolios. To do so, we first calculate the returns of the VIX index. We then

Quantocracy’s Daily Wrap for 04/28/2018

This is a summary of links featured on Quantocracy on Saturday, 04/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Fixed income carry as trading signal [SR SV]

    Empirical evidence for 27 markets suggests that carry on interest rate swaps has been positively correlated with subsequent returns for the past two decades. Indeed, a nave strategy following carry as signal has produced respectable risk-adjusted returns. However, this positive past performance masks the fundamental flaw of the carry signal: it disregards the expected future drift in interest
  • Are Trend-Following and Time-Series Momentum Research Results Robust? [Alpha Architect]

    The authors discuss a variety of past research papers on time-series momentum but pay particular attention to the Moskowitz, Ooi, and Pedersen (MOP) 2012 JFE paper, Time Series Momentum. This paper is arguably the first paper in recent memory to crack the top-tier academic journals with a paper on trend-following, often considered by the current ivory tower establishment to be a shoddy