Quantocracy

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Quantocracy’s Daily Wrap for 06/12/2017

This is a summary of links featured on Quantocracy on Monday, 06/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Factors & Financial Planning [Flirting with Models]

    In asset management research, we often assume an investor has an infinite horizon, no spending requirements, and no tax consequences. While this may be appropriate for some institutions, it is rarely appropriate for individual investors, leaving financial advisors to fill the gaps. Many factor (smart-beta) products focus on their potential for excess (risk-adjusted) returns. The return is
  • Academic Research Insight: Factors and the Road to Retirement [Alpha Architect]

    Title: A WEALTH MANAGEMENT PERSPECTIVE ON FACTOR PREMIA AND THE VALUE OF DOWNSIDE PROTECTION Authors: LOUIS SCOTT AND STEFANO CAVAGLIA Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, SPRING 2017 (version here) What are the research questions? The article links two current hot topics: goal based investing and factor premia. Can factor premia (value, size, momentum and quality) help the aspiring

Quantocracy’s Daily Wrap for 06/11/2017

This is a summary of links featured on Quantocracy on Sunday, 06/11/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Real Time Factor Performance [Dual Momentum]

    According to S&P DJ Indices, 92% of all actively managed stock funds failed to beat their benchmarks over the past 15 years. This should come as no surprise. Similar results were published more than 20 years ago. This information has caused a move away from active stock selection and toward index funds or systematic approaches. Money managers have recently moved more in the direction of
  • Is Bitcoin A New Asset Class? [Capital Spectator]

    The astonishing bull market (bubble?) in Bitcoin has drawn attention to the cryptocurrency from all corners. One of the questions thats reasonating: Should Bitcoin be treated as an asset class, on par with stocks, bonds, real estate and commodities? A Forbes article last year, citing a study by ARK Investment Management, offered 4 Reasons Why Bitcoin Represents A New Asset Class. The

Quantocracy’s Daily Wrap for 06/10/2017

This is a summary of links featured on Quantocracy on Saturday, 06/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quant trading strategies which float [Cuemacro]

    had many different types of toys. My favourite was Lego. It was kind of cool (and even cooler these days judging by the ever wackier Lego sets you can buy these days). You can create a new toy each day out of Lego. All you needed was some imagination. However, there was always an Achilles heel to anything made of Lego. They couldnt float, because of the gaps between the plastic*. So how could

Quantocracy’s Daily Wrap for 06/07/2017

This is a summary of links featured on Quantocracy on Wednesday, 06/07/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Dynamic Asset Allocation for Practitioners, Part 1: Universe Selection [Invest Resolve]

    In 2012 we published a whitepaper entitled Adaptive Asset Allocation: A Primer in which we built upon the simple, robust momentum framework proposed by Mebane Faber in his 2009 study Relative Strength Strategies for Investing. Our approach utilized a portfolio optimization overlay to this framework which served to stabilize and strengthen the dynamic mix of high-momentum assets,
  • Yahoo Finance Alternatives [Foss Trading]

    I assume that you're reading this because you are one of many people who were affected by the changes to Yahoo Finance data in May (2017). Not only did the URL change, but the actual data changed as well! The most noticeable difference is that the adjusted close column is now only split-adjusted, whereas it used to be split- and dividend-adjusted. Another oddity is that only the close prices
  • State of Trend Following in May [Au Tra Sy]

    Negative month for the State of Trend Following report, putting the YTD well in the red. Please check below for more details. Detailed Results The figures for the month are: May return: -3.14% YTD return: -7.44% Below is the chart displaying individual system results throughout May: StateTF May And in tabular format: System May Return YTD Return BBO-20 -8.18% -14.54% Donchian-20 -5.35% -16.26%
  • Factors vs. Sectors in Asset Allocation [Quantpedia]

    This paper compares and contrasts factor investing and sector investing, and then seeks a compromise by optimally exploiting the advantages of both styles. Our results show that sector investing is effective for reducing risk through diversification while factor investing is better for capturing risk premia and so pushing up returns. This suggests that there is room for potentially fruitful
  • Rough Path Theory and Signatures Applied To Quantitative Finance – Part 3 [Quant Start]

    This is the third in a new advanced series of posts written by Imanol Prez, a PhD researcher in Mathematics at Oxford University and an expert guest contributor to QuantStart. In this post Imanol applies the Theory of Rough Paths to the task of handwritten digit classificationa common task for testing the effectiveness of machine learning models. – Mike. As we discussed in the last article,

Quantocracy’s Daily Wrap for 06/06/2017

This is a summary of links featured on Quantocracy on Tuesday, 06/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Classical Asset Allocation: Combining Markowitz and Momentum [Allocate Smartly]

    This is a test of the Classical Asset Allocation strategy from the paper Momentum and Markowitz: A Golden Combination, authored by three of our favorite minds in tactical asset allocation: Dr. Wouter Keller, Adam Butler of GestaltU/ReSolve AM, and Ilya Kipnis from the blog QuantStrat TradeR. This TAA model employs Markowitzs classic mean-variance optimization, coupled with a short
  • Academic Research Insight: Concentration is King [Alpha Architect]

    Title: PORTFOLIO CONCENTRATION AND PERFORMANCE OF INSTITUTIONAL INVESTORS WORLDWIDE Authors: NICOLE CHOI, MARK FEDEINA, HILLA SKIBA, TATYANA SOKOLYK Publication: JOURNAL OF FINANCIAL ECONOMICS, 2017 (version here) What are the research questions? Portfolios in international markets tend to be more concentrated (due to home bias). There is an unresolved puzzle in the literature: Does this
  • State of Trend Following Down in May and YTD [Wisdom Trading]

    May 2017 Trend Following: DOWN -2.59% / YTD: -13.91% Despite a pick up in the second half of the month, the index closed last month in the red, continuing the downward trend for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for May: WSTF 201706 Index And the 12-month chart: WSTF 201706 Index 12months Below are the summary stats:

Quantocracy’s Daily Wrap for 06/05/2017

This is a summary of links featured on Quantocracy on Monday, 06/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Do Factors Market Time? [Flirting with Models]

    Factors such as value, size, and momentum are generally constructed using dollar-neutral portfolios in academic literature. The market beta exposure in these portfolios is often significant and can vary substantially over time. Each factor has gone through periods where these features have been beneficial or detrimental to performance. Constructing beta neutral factor portfolios can remove the
  • Computer Age Statistical Inference [Eran Raviv]

    If you consider yourself Econometrician\Statistician or one of those numerous buzz word synonyms that are floating around these days, Computer Age Statistical Inference: Algorithms, Evidence and Data Science by Bradley Efron and Trevor Hastie is a book you cant miss, and now nor should you. You can download the book for free. My first inclination is to deliver an unequivocal recommendation. But

Quantocracy’s Daily Wrap for 06/04/2017

This is a summary of links featured on Quantocracy on Sunday, 06/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Linking R to IQFeed with the QuantTools package [R Trader]

    IQFeed provides streaming data services and trading solutions that cover the Agricultural, Energy and Financial marketplace. It is a well known and recognized data feed provider geared toward retail users and small institutions. The subscription price starts at around $80/month. Stanislav Kovalevsky has developed a package called QuantTools. It is an all in one package designed to enhance
  • FX Papers from International Finance 2017 [Cuemacro]

    It can often be easy (and wrong) as a market practitioner in FX to think of moves from purely a speculators point of view. However, as probably seems blatantly obvious, the behaviour of speculators in the FX market is not conducted in some vacuum. It is an amalgamation of many other transactions which are not primarily done for the purposes of speculation on the FX rate. Whenever we go abroad,
  • Random Books [Eran Raviv]

    It seems like a very long while since my bachelor. Checking my bookshelf the other day I was thinking to flag some of those books which helped or inspired me along the way. Here they are in no particular order. Risk: Elements of Financial Risk Management Clear and to the point, 5 stars. Value at Risk Extensive and thorough. R: The Art of R Programming: A Tour of Statistical Software Design By far
  • The Dividend Disconnect: Behavioral Finance Strikes Again [Alpha Architect]

    In the past we have discussed that some investors demand dividends. (Here is a nice post by Larry Swedroe on the topic and there are more holistic measures, such as shareholder yield, which are better predictors of future returns). A few posts we have on the topic highlight that CEOs cater to dividend demand, Mutual funds juice the dividend yield, and examine the returns to dividend payers
  • This Study Suggests Intermediate-Term Momentum Is Strong Enough To Persist A While Longer [Quantifiable Edges]

    One study from the Quantifinder that triggered last has some potential intermediate-term implications, and it is fairly interesting, so I figured I would share it. This study looked at the SPX closing price in relation to its 50-day Bollinger Bands, and the fact that we are now extended upwards. I used 2 standard deviations in the Bollinger Band calculation. I used %b to measure where we fell. For

Quantocracy’s Daily Wrap for 06/02/2017

This is a summary of links featured on Quantocracy on Friday, 06/02/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation in May [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. Read more about our backtests or let AllocateSmartly help you follow these strategies
  • Podcast: When is a strategy ready for live trading? With @Robot_Wealth [Better System Trader]

    It can be really interesting and exciting to research the markets and test different ideas but at some stage we need to decide if the strategy is ready for live trading. Some traders can get stuck endlessly researching Trying to find that perfect system Which comes at a cost. How do we avoid getting bogged down in research? How do we know when a trading strategy is actually ready for
  • Free Friday #17 Would you trade this? [Build Alpha]

    As always, happy Friday! In this Free Friday post, I want to pose a poll question. After reading the post and viewing the graphs please respond to the poll below and I will publish the results in another post later next week. The question is would you trade this strategy? Polls Would you trade this? Yes No View Results First, lets go over the strategy. The strategy was designed using GBPAUD

Quantocracy’s Daily Wrap for 05/31/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/31/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Watch presentations from R/Finance 2017 [Revolutions]

    It was another great year for the R/Finance conference, held earlier this month in Chicago. This is normally a fairly private affair: with attendance capped at around 300 people every year, it's a somewhat exclusive gathering of the best and brightest minds from industry and academia in financial data analysis with R. But for the first time this year (and with thanks to sponsorship from
  • A single value to measure equity market correlation [Quant Bear]

    There exists a vast amount of studies that show an increase in correlation between global equity indices during bear markets and propose ways to measure/forecast this correlation (see for example Campbell, Koedjik and Kofman or Capiello, Engle and Sheppard, and many, many more). These studies differ greatly in their methodologies and complexities but they more or less all show the same significant
  • Can A Simple Market Timing Indicator Be Beat? [Alvarez Quant Trading]

    As long time readers of my blog know, I often use a market timing indicator in my strategies. My favorite one, and a simple one, is using the 200 day moving average on either the SPY or S&P 500 Index. I recently ran into these posts, Using Market Breadth To Gauge Market Health (Part 5) and Matts Breadth Indicator. Matts Breadth Indicator (MBI) intrigued me because I had not seen
  • Portfolio Rebalancing Research: Momentum and Tolerance Bands [Alpha Architect]

    If you are looking for research on stock selection, youre in luck the research is everywhere and has arguably been overdone. Get started with Moon Cycles & Stock Market Returns and The Congressional Calendar & Stock Market Returns to get a sense for how esoteric the research has gotten. Hundreds of these papers have been covered on the Alpha Architect blog and you could spend a
  • What are the Different Types of Quant Funds? [Quant Start]

    This is the third in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank examines the different algorithmic trading strategies carried out by quantitative hedge funds. Click for parts one and two. – Mike. Institutional asset managers specialize in a particular asset class, style, sector, or geography, based on their expertise or
  • Why Bitcoin is the Ultimate Safe Haven Asset [Signal Plot]

    In 2008, in the middle of the global financial crisis, Satoshi Nakamoto published a white paper describing the bitcoin protocol. The bitcoin blockchain then came into existence on January 3, 2009 when Nakamoto created the genesis block the first block of the blockchain. All subsequent blocks contain data from the previous block as an input, thus forming an unbroken chain representing all
  • SPX Dips After Persistent Move To A New High What s the Next Move? [Quantifiable Edges]

    One compelling study that triggered tonight suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after SPX moves up at least 5 days in a row to a 50-day high, and then pulls back. (This is the current setup.) 2017-05-31 We see here a decent edge that becomes stronger and more consistent as you look

Quantocracy’s Daily Wrap for 05/30/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Beta Convexity [Jonathan Kinlay]

    Around a quarter of a century ago I wrote a paper entitled Equity Convexity which to my disappointment was rejected as incomprehensible by the finance professor who reviewed it. But perhaps I should not have expected more: novel theories are rarely well received first time around. I remain convinced the idea has merit and may perhaps revisit it in these pages at some point in future.
  • Get Fed Day Research & Tools While Helping Fight Multiple Sclerosis [Quantifiable Edges]

    Quantifiable Edges is now offering our Fed Day research and tools to anyone that makes any size donation to the MS Society! Keep reading for details. One bit of research that Quantifiable Edges has become known for are the many studies I have published on Fed Days. In fact, you could say I wrote the book on Fed Days. And the pdf version of that book sells for $25. But between now and June 24th I
  • Academic Research Insight: Factor Investing Over the Long Run [Alpha Architect]

    Title: FACTOR BASED INVESTING: THE LONG TERM EVIDENCE Authors: ELROY DIMSON, PAUL MARSH, AND MIKE STAUNTON Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, 2017, SPECIAL ISSUE (version here) What are the research questions? Is there out-of-sample (OOS) evidence for factor investing? What are the Academic Insights? By studying a data set including 23 countries and over a long time frame (1926 for