Quantocracy

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Quantocracy’s Daily Wrap for 05/10/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Permanent Portfolio from @GestaltU and @InvestReSolve [Allocate Smartly]

    This is a test of the Tactical Permanent Portfolio from the brains at GestaltU and ReSolve Asset Management. The strategy adds a number of dynamic features to a classic buy & hold strategy to better manage volatility and losses. Results from 1970, net of transaction costs, follow. Read more about our backtests or let AllocateSmartly help you follow this strategy in near real-time.

Quantocracy’s Daily Wrap for 05/09/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Vix Below Low Redux [Voodoo Markets]

    Well, Its here, spot Vix close below 10. From what i read from the web, people are piling into short vol strategies on an escalating scale. I suspect unwinding of that trade will be rather brutal. I wish good luck to every short vol trader out there and dont forget to wear a helmet 🙂 1 2 3 4 5 6 7 8 9 10 11 12 13 14 import pandas as pd import numpy as np import matplotlib.pyplot as plt import
  • Iron Condor Results Summary [DTR Trading]

    Over the last several months I have shared the results from an extensive set of backtests of SPX iron condors (IC). In all, I backtested 600,912 individual SPX IC trades entered at varying days to expiration (DTE) between January 2007 and September 2016. The prior articles can be found at the links below: New Iron Condor Series Introduction 38 DTE SPX Iron Condor Results Summary 38 DTE SPX Iron

Quantocracy’s Daily Wrap for 05/08/2017

This is a summary of links featured on Quantocracy on Monday, 05/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trading Strategy: 52-Weeks High Effect in Stocks [Quant Insti]

    In todays algorithmic trading having a trading edge is one of the most critical elements. Its plain simple. If you dont have an edge, dont trade! Hence, as a quant, one is always on a look out for good trading ideas. One of the good resources for trading strategies that have been gaining wide popularity is the Quantpedia site. Quantpedia has thousands of financial research papers that
  • Expectations with Tactical Equity [Flirting with Models]

    Market expectations are a key input in the portfolio construction process. These expectations can be either qualitative or quantitative. How to form expectations for more complex strategies (e.g. managed futures, covered calls, and alternatives) is often less straightforward than forming expectations for single asset classes (e.g. large-cap equities, gold, and long-term U.S. Treasuries). In the
  • Factor Persistence & Diversification [Larry Swedroe]

    Financial research has uncovered many relationships between investment factors and security returns. Given that popularity is a curse in investing, the growing popularity of factor investing has led to worries that factors have become overvalued, posing risks to investors in these strategies. For investors, an important question is whether the past relationship between factors and returns will

Quantocracy’s Daily Wrap for 05/07/2017

This is a summary of links featured on Quantocracy on Sunday, 05/07/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Pseudo-quants [Mathematical Investor]

    As the old joke says, math is what mathematicians do. Somehow this simple tautology is lost in the dishonest world of finance Quantitative investing: A crisis waiting to happen In a recent WSJ article, Jason Zweig brilliantly summarizes the unbearable hype and hubris exhibited by some self-titled quants: BlackRock, the giant asset manager, recently announced it will rely more heavily

Quantocracy’s Daily Wrap for 05/05/2017

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

  • Research Review | 5 May 2017 | Forecasting [Capital Spectator]

    Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability Alexey Ivashchenko (University of Lausanne) May 4, 2017 The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this finding. Once I project spreads on these two risk factors, which
  • Sell in May Over the Long Run [CXO Advisory]

    Does the conventional wisdom to Sell in May (and Buy in November, hence also the term Halloween Effect) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check, we turn to the long run dataset of Robert Shiller. This data set includes monthly levels of the S&P Composite Index, calculated as average of daily
  • Wisdom State of Trend Following in April [Wisdom Trading]

    April 2017 Trend Following: DOWN -1.35% / YTD: -11.65% April was another down month for the Wisdom State of Trend Following, with the index already in double-digit territory, on the negative side, for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann.

Quantocracy’s Daily Wrap for 05/03/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Play US Treasury ETFs in an Era of Rising Rates [Allocate Smartly]

    In our previous post we demonstrated an approach to modeling US Treasury ETF performance in an era of rising interest rates. We showed results like the ones below, simulating the performance of various constant maturity ETFs from the interest rate peak in 1981 to the present (left half of the graph), and in a hypothetical world where rates marched upwards in the exact reverse order (right half of
  • Why Tuesday s 20-day High Mutes Today s Fed Day Potential [Quantifiable Edges]

    Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed
  • Factor Investing in Multi-Asset Portfolios [Flirting with Models]

    Factor investing (value, momentum, low volatility, carry, trend, etc.) is well-known in equities but less discussed in other asset classes. However, many of these factors are just as prevalent in other asset classes, such as bonds, commodities, and currencies. In this case study, we explore the risk-adjusted carry and trend factors that we seek to incorporate in our own Multi-Asset Income
  • Machine Trading from @ChanEP – Book Review [Eran Raviv]

    In trading and in trading-related research one could be quickly overwhelmed with the sea of ink devoted to trading strategies and the like. It is essential that you pick your battles so to speak. I recently finished reading Machine Trading, by Ernest Chan. Here is what I think about the book. The book is extremely friendly. Writing is lucid and down to earth, which makes it an easy read. The

Quantocracy’s Daily Wrap for 05/01/2017

This is a summary of links featured on Quantocracy on Monday, 05/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using a Market Timing Rule to Size an Option Position [Relative Value Arbitrage]

    Position sizing and portfolio allocation have not received much attention in the options trading community. In this post we are going to apply a simple position sizing rule and see how it performs within the context of volatility trading. An option position can be sized by using, for example, a Markov Model where the size of the position can be a function of the regime transition probability [1].

Quantocracy’s Daily Wrap for 04/29/2017

This is a summary of links featured on Quantocracy on Saturday, 04/29/2017. 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 don't (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

Quantocracy’s Daily Wrap for 04/28/2017

This is a summary of links featured on Quantocracy on Friday, 04/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Dual Momentum: A Review [Robot Wealth]

    I recently read Gary Antonaccis book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the premier anomaly (Fama and French, 2008), but because it is ultimately about approaching the
  • Is VIX Index Manipulated? [Quantpedia]

    At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in the out-of-the-money options that are used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX. We investigate alternative explanations of coordinated liquidity trading and hedging. Tests including those utilizing differences in put and call
  • The Capacity of Smart Beta Funds – Larger than Previously Thought? [Alpha Architect]

    ETFs and factor investing are on the tip of everyones tongue these days. Factor investing is being couched as a new thing, despite the fact that institutional investors have been deploying these strategies for years. (See this working paper discussing the effective use of smart beta strategies by institutional investors.) However, because factor investing is now directly accessible via
  • Podcast: How to find trading ideas every single day with Rob Hanna (@QuantEdges) [Better System Trader]

    I recently received an email asking me where all the trading ideas are. I think every episode provides at least 1 idea of value, but one that stands out in my mind was the chat with Rob Hanna in episode 7. In that episode he share loads of trading ideas. But he also goes one step further and explains the technique he uses to find new trading ideas Every. Single. Day.

Quantocracy’s Daily Wrap for 04/27/2017

This is a summary of links featured on Quantocracy on Thursday, 04/27/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation and the US 60/40 Benchmark [Alpha Architect]

    Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase allocation to assets expected to outperform and reduce allocation to those expected to underperform, to enhance returns.
  • Creating a VIX Futures Term Structure In R From Official CBOE Settlement Data [QuantStrat TradeR]

    This post will be detailing a process to create a VIX term structure from freely available CBOE VIX settlement data and a calendar of freely obtainable VIX expiry dates. This has applications for volatility trading strategies. So this post, as has been the usual for quite some time, will not be about a strategy, but rather, a tool that can be used for exploring future strategies. Particularly,