Quantocracy

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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

Quantocracy’s Daily Wrap for 04/26/2018

This is a summary of links featured on Quantocracy on Thursday, 04/26/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Diversification – What most novice investors miss about trend following [Invest ReSolve]

    In his 1998 second edition of Stocks for the Long Run1, Jeremy Siegel added a chapter called Technical Analysis and Investing with the Trend, where he explored simple trend rules to time the U.S. stock market. In the chapter, Dr. Siegel revealed that the simple trend following strategy produced similar returns to a strategy of buying the index and re-investing dividends over the very
  • The Costs of Implementing Momentum Strategies [Alpha Architect]

    There are now hundreds of factors in what John Cochrane famously called the zoo of factors. However, there are only a small number that meet the requirements for investment that my co-author, Andrew Berkin, and I establish in our book, Your Complete Guide to Factor-Based Investing: persistence, pervasiveness, robustness, implementability, and intuitiveness. Momentum (both
  • Backtesting Four Portfolio Optimization Strategies In R [Capital Spectator]

    Investing strategies run the gamut, but every portfolio shares a common goal: delivering optimal results. The catch is that theres a wide range of possibilities for defining optimal and so your mileage may vary, depending on preferences, assets, and other factors. Eran Raviv offers a useful review by comparing how four strategies with different portfolio-design strategies stack up via

Quantocracy’s Daily Wrap for 04/25/2018

This is a summary of links featured on Quantocracy on Wednesday, 04/25/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Exploring Alternative Price Bars [Black Arbs]

    This post explores a concept at the heart of quantitative financial research. Most qfin researchers utilize statistical techniques that require varying degrees of stationarity. As many of you are aware financial time series violate pretty much all the rules of stationarity and yet many researchers, including me, have applied or will apply techniques when not appropriate thereby calling into
  • Mean Reversion Entry Timing [Alvarez Quant Trading]

    One of the first tests I did when I got AmiBroker twenty years ago was a mean reversion test. It was a classic set up, a stock in an uptrend, followed by a pullback. But the entry differed from what I do now. The entry waited for a confirmation of the trend back up. The trade would enter when the stock crossed above the previous days high. The exit was also different. The exit was on a close
  • Crypto-asset Research Survey [CXO Advisory]

    What is the body of academic research on crypto-assets? In their March 2018 paper entitled Cryptocurrencies as a Financial Asset: A Systematic Analysis, Shaen Corbet, Brian Lucey, Andrew Urquhart and Larisa Yarovaya review available research on cryptocurrencies as financial assets. They define crypto-assets as peer-to-peer electronic transaction systems which allow payment by one party

Quantocracy’s Daily Wrap for 04/24/2018

This is a summary of links featured on Quantocracy on Tuesday, 04/24/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Keller Ratio: Finding the Best Strategy for an Investor’s Unique Risk Tolerance [Allocate Smartly]

    We wanted to take a moment to highlight a post from the always smart JW Keuning describing a novel approach for measuring how well a strategy has performed relative to drawdowns (losses): Presenting the Keller Ratio. Our preferred method for assessing a strategys return relative to drawdown has always been the Ulcer Performance Index, but the Keller Ratio offers the unique ability to adjust
  • The World’s Longest Multi-Asset Momentum Investing Backtest [Alpha Architect]

    As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2607730 Most of the research on momentum is repetitive and reaks of data torture, but Geczy and Samanov
  • Three-day Pullback Pattern Into Turnaround Tuesday Potentially Bullish [Quantifiable Edges]

    SPYs move lower over the last 3 days has set up a potential Turnaround Tuesday scenario. The fact that it made a lower high, lower low, and lower close for at least the 3rd day in a row triggered the following study. 2018-04-241 The numbers are impressive and the bounces couldnt get much more reliable. In all but two instances SPY has managed to bounce at some point in the next four
  • There Exist Two Different Accruals Anomalies [Quantpedia]

    We document that several well known asset-pricing implications of accruals differ for investment and non-investment-related components. Exposure to an investment-accruals factor explains the cross-section of returns better than the accruals themselves, and this factors returns are negatively predicted by sentiment. The opposite results hold for non-investment accruals. Further tests show cash

Quantocracy’s Daily Wrap for 04/23/2018

This is a summary of links featured on Quantocracy on Monday, 04/23/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Risk Ignition with Trend Following [Flirting with Models]

    While investors are often concerned about catastrophic risks, failing to allocate enough to risky assets can lead investors to fail slowly by not maintaining pace with inflation or supporting withdrawal rates. Historically, bonds have acted as the primary means of managing risk.However, historical evidence suggests that investors may carry around a significant allocation to fixed income only
  • Value Factor: Improving the Tax Efficiency [Factor Research]

    The tax efficiency of the Value factor can be improved by reducing exposure to dividend-yielding stocks Improving the tax efficiency reduces the performance in Europe and Japan, but not in the US Reducing turnover can be considered for minimising capital gains and stamp duty taxes INTRODUCTION Tax is not a particular exciting dinner party topic, but is highly relevant for net investor returns. A

Quantocracy’s Daily Wrap for 04/22/2018

This is a summary of links featured on Quantocracy on Sunday, 04/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Presenting the Keller Ratio [TrendXplorer]

    Many traditional return to risk measures are not apt for intuitive interpretation The Keller ratio is expressed as an adjusted return and therefore easy to interpret The Keller ratio allows for strategy selection optimally aligned with an investors risk appetite In our VAA-paper we introduced a new metric for assessing a portfolios equity line in terms of the reward to risk relationship:
  • Reversal Patterns: Part 1 | Trading Strategy (Exits) [Oxford Capital]

    Developer: Richard Wyckoff; Toby Crabel. Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Trading strategy based on reversal patterns. Research Goal: Performance verification of reversal patterns. Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Setup: A price move below a Demand Pivot
  • A SPY Setup Suggesting A Short-Term Upside Edge [Quantifiable Edges]

    Fridays action caused SPY to close in an interesting position. Traders could look at the chart and say it is short-term oversold due to the fact that it closed at a 5-day low for the 1st time in a while. They might also say it is short-term overbought since it closed above its 10-day moving average. I have found that edges often arise when something is overdone in one timeframe, but