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Quantocracy’s Daily Wrap for 05/17/2016

This is a summary of links featured on Quantocracy on Tuesday, 05/17/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Where Do All the Clicks Go? [Quantocracy]

    Its been about a year since we launched Quantocracy. Over that time, weve sent about 450,000 clickthroughs to sites in the quant community, and that doesnt even include RSS, Twitter, StockTwits and Facebook. To all of the denizens of Quantocracy: a big mahalo, gracias, ?? and thank you for helping this community to grow. But where are all those clicks going? I view this site as more
  • Not so Simple: Valuations and Low Volatility Strategies [Alpha Architect]

    Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldnt want to own something with the label low volatility and Recent performance has been great. Open the AUM floodgates! But perhaps not all is well in low volatility land. A recent snippet by Josh Brown hints at the idea that perhaps low volatility is overdone. Charles Bilello at Pension Partners
  • Can We Predict Forward Alternative Investment Performance? [EconomPic]

    My friend Ben from A Wealth of Common Sense poses the interesting question, How Should Alternative Investments Be Benchmarked? Please go read his post for a number of interesting thoughts on that topic. In this post, rather than rehash his arguments, I'll go a different direction and will try to articulate what drives the performance of alternatives (i.e. hedge funds / liquid alts) to see if
  • Update on Attilio Meucci’s The Checklist and ARPM Bootcamp / Code [Return and Risk]

    Last week I organised for Attilio Meucci to give a webinar to members of CFA Singapore and NUS Risk Management Institute on an Introduction to The Checklist Ten Steps for Advanced Risk and Portfolio Management. It served the dual-purpose of a professional development talk and marketing of the upcoming ARPM Bootcamp on 15-20 August in NYC. The slides can be viewed online at
  • Giving Up on Recursive Sine Formula for Period Calculation [Dekalog Blog]

    I have spent the last few weeks trying to get my recursive sine wave formula for period calculations to work, but try as I might I can only get it to do so under ideal theoretical conditions. Once any significant noise, trend or combination thereof is introduced the calculations explode and give meaningless results. In light of this, I am no longer going to continue this work. Apart from the above
  • The Fine Art of Opening Range Breakout Trading [Milton FMR]

    The goal of this research is to find various set-ups and exit strategies that could be used for trading the opening range breakouts. The time frames we will be looking at are 10min, 15min and 30min opening range breakouts. We will focus our attention on the very liquid futures markets in particular we will analyze the S&P500 futures. We would like to encourage you as the reader to participate
  • Trading With Indices [Jonathan Kinlay]

    In this post I want to discuss ways to make use of signals from relevant market indices in your trading. These signals can add value regardless of whether you trade algorithmically or manually. The techniques described here are one of the most widely applicable in the quantitative analyst's arsenal. Let's motivate the discussion by looking an example of a simple trading system trading

Filed Under: Daily Wraps

Where Do All the Clicks Go?

It’s been about a year since we launched Quantocracy. Over that time, we’ve sent about 450,000 clickthroughs to sites in the quant community, and that doesn’t even include RSS, Twitter, StockTwits  and Facebook. To all of the denizens of Quantocracy: a big mahalo, gracias, 謝謝 and thank you for helping this community to grow.

But where are all those clicks going? I view this site as “ours” rather than “mine”, so I think a nerd data dump is in order. As we’ve shown previously, we’re rewarding quality by sending a lot more traffic to higher rated links. That’s good, but it’s only part of the story. The chart below shows the % of all clickthroughs, by recipient. I’ve highlighted a couple of important reference points, including the ten top ranked bloggers on the mashup.

Click graph to zoom. We drill down further into these numbers in the second graph at the bottom of the page.

perc_of_clicks-20160517-pie

Calculation notes: The number in parenthesis shows the number of links from that recipient. When we launched this site, we backfilled historical links from our old site, The Whole Street. Most of those links essentially never got clicked, so we required a link to be clicked at least 10 times to be included. Links on our blogroll (in the sidebar) were also included. Books in our library (as opposed to our mashup), as well as RSS and all of our social media feeds, were excluded.

Observations:

  • We’re spreading the wealth across A LOT of sites. That’s good.
  • As previously shown, higher rated links receive the most clickthroughs per link, but in terms of total clickthroughs, quantity often matters more. For example, the three highest rated bloggers on the mashup at the moment: Financial Hacker, Robot Wealth and Turing Finance, who also receive the most clicks per link, are fairly middling in terms of total clickthroughs, because they haven’t posted often.
  • As a result, when a blog is both highly rated and posts often (ex. Alpha Architect and Flirting with Models aka “thinknewfound”), they receive an outsized portion of our total clickthroughs (Alpha Architect at 6%…wow).
  • The numbers above only show Amazon clickthroughs from our mashup. 75% of clickthroughs to Amazon are from our book library or from the widget in the sidebar. That’s good, as I don’t want books to take up too much valuable real estate on the mashup itself.
  • I don’t think that a blogger should conclude from this data simply that they should post more often. There’s real, tangible differences in the “quality” of clickthroughs. Without going into details, I can anecdotally say that a number of top ranked bloggers have found significant offline success as a result of the quality of their workmanship, despite posting infrequently. I think the inverse holds true as well.

And finally, this final chart shows all recipients of at least 0.1% of total clickthroughs (i.e. everything that got a slice of the pie chart above). Some sites may now be defunct. Click to zoom.

perc_of_clicks-20160517-bar

Filed Under: Site Announcements

Quantocracy’s Daily Wrap for 05/15/2016

This is a summary of links featured on Quantocracy on Sunday, 05/15/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

    No new links posted.

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/14/2016

This is a summary of links featured on Quantocracy on Saturday, 05/14/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • 52 Pick-Up and factor investing [Factor Investor]

    Remember 52 Pick-Up? A dubious sibling, usually older, would ask if you wanted to play a game while holding a deck of cards. Emphatically, you agree, only to be showered with the deck of playing cards and told to pick them up. Wikipedia in its infinite wisdom defines 52 pick up as "a game of picking up thrown cards." In a lot of ways, the market is that devious sibling. The cards are

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/13/2016

This is a summary of links featured on Quantocracy on Friday, 05/13/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How Portfolio Construction Affects Value Funds [Alpha Architect]

    Value investing is an investment philosophy that has been extensively discussed and examined at least since the days of Ben Graham, who popularized it as a discipline in the 20s and 30s. While there are some who are dismissive of its advantages as a long-term strategy, the historical evidence is compellingly clear: Cheap stocks beat expensive stocks over time (see our simulation study as an

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/12/2016

This is a summary of links featured on Quantocracy on Thursday, 05/12/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Deep Learning with Theano – Part 1: Logistic Regression [Quant Start]

    Over the last ten years the subject of deep learning has been one of the most discussed fields in machine learning and artificial intelligence. It has produced state-of-the-art results in areas as diverse as computer vision, image recognition, natural language processing and speech recognition. However it has also been widely hyped – the answer to all machine learning problems – and is often
  • Heatmaps in R [Quant Finance Academy]

    In exploratory data analysis, we often need to visualize our data in different formats, in order to gain more understanding about the numbers and the relationship between the parameters. One such wonderful and informative representation is the Heatmap, which is basically a colored image, the colors explain the strength of the relationship between two parameters. It normally has a dendogram

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/11/2016

This is a summary of links featured on Quantocracy on Wednesday, 05/11/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Cliff Asness’s (AQR) View on Factor Timing [Quantpedia]

    Everyone seems to want to time factors. Often the first question after an initial discussion of factors is ok, whats the current outlook? And the common answer, the same as usual, is often unsatisfying. There is powerful incentive to oversell timing ability. Factor investing is often done at fees in between active management and cap-weighted indexing and these fees have been falling
  • How To Compute Turnover With Return.Portfolio in R [QuantStrat TradeR]

    This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio function in R. It will demonstrate this on a basic strategy on the nine sector SPDRs. So, first off, this is in response to a question posed by one Robert Wages on the R-SIG-Finance mailing list. While there are many individuals out there with a
  • State of Trend Following in April [Au Tra Sy]

    The state of trend following was negative last month, as it was in March. The index is now just above the zero-line for the year, back from nearly the +20% mark a month and a half ago. Please check below for more details. Detailed Results The figures for the month are: April return: -2.35% YTD return: 2.54% Below is the chart displaying individual system results throughout April:

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/10/2016

This is a summary of links featured on Quantocracy on Tuesday, 05/10/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Machine learning for financial prediction: experimentation with Aronson s latest work – part 2 [Robot Wealth]

    My first post on using machine learning for financial prediction took an in-depth look at various feature selection methods as a data pre-processing step in the quest to mine financial data for profitable patterns. I looked at various methods to identify predictive features including Maximal Information Coefficient (MIC), Recursive Feature Elimination (RFE), algorithms with built-in feature

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 05/09/2016

This is a summary of links featured on Quantocracy on Monday, 05/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Motivation: Why Do I Blog? [Quantocracy]

    A common concern I hear from many in our community of quantitative bloggers is defining their motivation to write for the long-term. Most begin writing without knowing what to expect, just happy to take a break from crunching numbers to interact with actual humans. Sometimes that optimism wanes though when the realities of lifes other responsibilities begin to pull at their time. Throw in a
  • Alternative Beta can be Great: But Beware of Data-Mining! [Alpha Architect]

    We investigate the biases in the backtested performance of alternative beta strategies using a sample of 215 commercially promoted trading strategies across five asset classes. Our results lend support to the cautions in recent literature regarding backtest overfitting and lack of robustness in trading strategy performance during the live period (out of sample). We report a median 73%
  • The two sources of outperformance [Flirting with Models]

    This blog post is available for download here. Summary When a manager outperforms, it implies that other investors have underperformed. In understanding an investment process, we believe it is critical to understand the source of this outperformance to determine whether it is sustainable or not. We believe there are two key sources of outperformance: exploiting investor behavior and being

Filed Under: Daily Wraps

Motivation: Why Do I Blog?

Blogging is hard. Quant blogging is even harder.

I sometimes hear from bloggers in our community that their motivation to blog has faded. Most begin writing with little expectation, just happy to take a break from crunching numbers to interact with actual humans. Sometimes that optimism wanes though when the realities of life’s other responsibilities begin to pull at their time. Throw in a healthy dose of the troll’foolery that comes with having an Internet presence, and folks sometimes question whether it’s all worth it.

As a denizen of this community, I want to encourage folks to continue writing. I’ve spoken with a number of the top bloggers on our mashup to understand both the tangible and intangible things that motivate them. Here are the eight motivators they shared, sorted from least to most tangible:

  • Sharing for the sake of sharing:

    There is a special breed of person who enjoys sharing simply for the sake of sharing. These are the generous souls who contribute to Stack Exchange and the like. But for many, it’s not enough.

  • A means to organize and archive one’s thoughts:

    Many analytical people, myself included, tend to be easily distracted by squirrels. A blog forces one to organize and archive one’s thoughts, closing a chapter on one subject before moving on to the next.

  • Collaboration with the community:

    Many of us work on our nerd toys in isolation, and seek the feedback and collaboration that comes with being part of a community. I hear mixed responses on this. I would summarize them as this: the Internet is mostly a “taking” as opposed to “giving” place. Don’t expect an army of collaborators. Expect a very small number of people who have the potential to make a real impact on your work.

  • Advertising/affiliate marketing:

    The reality is that our niche is too small to drive significant revenue. I would say that we have a reasonably successful site as far as quantitative stuff goes, but our primary source of revenue, our book library, generates less than $200 a month, essentially all of which goes to costs. You can certainly do better, but don’t expect much here.

  • Contract work:

    Some bloggers are having success with one-off contract work (consulting, strategy development, programming, etc.) that often turns into something much bigger. This one surprised me as I didn’t realize the scale on which it was happening.

  • Career building and networking:

    There have been A LOT of success stories here. Folks are finding solid jobs by treating their site as a portfolio of their workmanship. It makes me incredibly happy to know that, along with the “contract work” above, we’re playing a small part in improving lives in the offline world.

  • Managing money:

    A number of sites manage money in some form or fashion. While they may not technically solicit business through their sites, their workmanship is on display, something that I think is much more effective in finding more sophisticated clients than the traditional approach to sales.

  • Selling something:

    This is the most direct approach: books, software, subscriptions to strategies, subscriptions to member-only content. Note that there has been a lot written about the financial benefit (or lack thereof) of selling books the traditional way (i.e. Amazon + brick-and-mortar). In short, there’s not much money there, but it’s a means to drive some other revenue stream.

That’s it. I’m sure there are more, but these are what came out of my conversations. There is of course no one-size-fits-all answer, but as a denizen of this community I hope that authors define what motivates them so that we as a community don’t lose the benefit of their knowledge.

Mike @ Quantocracy

Filed Under: Site Announcements

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