Quantocracy

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Quantocracy’s Daily Wrap for 02/15/2023

This is a summary of links featured on Quantocracy on Wednesday, 02/15/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Investigating Price Reaction Around Bitcoin & Ethereum Events [Quantpedia]

    Cryptocurrencies are a high-risk and very speculative asset class that, from being used only by tech geeks worldwide, spread from small retail craziness of early adopters to institutional adoption and mainstream. Some claim it to be a world-changing concept with the utilization of blockchain (databases) and smart contracts that open a wide range of opportunities, from decentralizing finance to
  • Yield curve modeling [Quant Dare]

    The financial industry is constantly searching for models that can help accurately predict the behavior of interest rates. In this article we will explore one of the most widely used models for this purpose, the Nelson-Siegel (NS) model. What is the Nelson-Siegel Model? The NS model is a yield curve factor model. Yield curve factor models are based on the idea that the yield curve can be

Quantocracy’s Daily Wrap for 02/14/2023

This is a summary of links featured on Quantocracy on Tuesday, 02/14/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • What’s My International Exposure? [Finominal]

    The S&P 500 has meaningful exposure to international markets Measuring geographical exposure can be done top-down or bottom-up However, both approaches have flaws INTRODUCTION Globalization has significantly improved our lives, although some countries like Germany have benefitted more than others given export-oriented industries. It is easy for politicians to highlight damage done by foreign
  • Dominate the Markets with ChatGPT and TradingView [Analyzing Alpha]

    Attention all traders! Are you looking for a cutting-edge way to dominate the markets and maximize your profits? Look no further than the power of ChatGPT and TradingView. By combining the advanced AI capabilities of ChatGPT with the unparalleled charting and analysis tools of TradingView, you can create custom trading strategies with ease and precision without knowing how to code Say goodbye
  • Open or Close? Why Not Both? [Financial Hacker]

    In his TASC February 2023 article, John Ehlers proposed to use the average of open and close, rather than the close price, for technical indicators. The advantage is a certain amount of noise reduction. On intraday bars the open-close average is similar to an SMA(2). It makes the data a bit smoother, but at cost of additional lag by half a bar. The script below, in C for the Zorro platform,
  • Testing macro trading factors [SR SV]

    The recorded history of modern financial markets and macroeconomic developments is limited. Hence, statistical analysis of macro trading factors often relies on panels, sets of time series across different currency areas. However, country experiences are not independent and subject to common factors. Simply stacking data can lead to pseudo-replication and overestimated significance of

Quantocracy’s Daily Wrap for 02/10/2023

This is a summary of links featured on Quantocracy on Friday, 02/10/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 02/09/2023

This is a summary of links featured on Quantocracy on Thursday, 02/09/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Equities, Bonds and maximising CAGR [Investment Idiocy]

    Lots of things have changed in the last year. Many unthinkable things are now thinkable. A war in Europe. The UK coming 2nd in the Eurovision song contest rather than the usual dismal 'null points'. And of course, the correlation of stocks and bonds has recently gone more positive than it has been for over 20 years: Rolling 12 month correlation of weekly returns for S&P 500 equity

Quantocracy’s Daily Wrap for 02/06/2023

This is a summary of links featured on Quantocracy on Monday, 02/06/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Growth ETFs: Performance & Factor Exposures [Finominal]

    Growth ETFs are not very differentiated, despite growth having various interpretations 34 out of 40 growth ETFs underperformed the stock market over the last 3 years Nor was the long-term performance attractive INTRODUCTION Factors like value or momentum are also called stock market anomalies as there should not be any repeatable investing process that allows investors to harvest excess returns

Quantocracy’s Daily Wrap for 02/03/2023

This is a summary of links featured on Quantocracy on Friday, 02/03/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Percentage or price differences when estimating standard deviation – that is the question [Investment Idiocy]

    In a lot of my work, including my new book, I use two different ways of measuring standard deviation. The first method, which most people are familiar with, is to use some series of recent percentage returns. Given a series of prices p_t you might imagine the calculation would be something like this: Sigma_% = f([p_t – p_t-1]/p_t-1, [p_t-1 – p_t-2]/pt-2, ….) NOTE: I am not concerned with the
  • Does dividend impact matter to stock returns? [Alpha Architect]

    Many investors, especially those using a cash flow approach to spending, have long known that they prefer cash dividends. From the perspective of classical financial theory, this behavior is an anomaly. In their 1961 paper, Dividend Policy, Growth, and the Valuation of Shares, Merton Miller and Franco Modigliani famously established that dividend policy should be irrelevant to stock returns.
  • Playing around with leveraged ETFs; or how to get positive skew without trend following [Investment Idiocy]

    As readers of my books will know, I don't recommend leveraged ETFs as a way to get leverage. Their ways are very dark and mysterious. But like many dark and mysterious things, they are also kind of funky and cool. In this post I will explore their general funkiness, and I will also show you how you can use them to produce a positive skewed return without the general faff of alternative ways
  • SPX Golden Crosses Since 1928 [Quantifiable Edges]

    SPX will post a Golden Cross on Thursday afternoon. A Golden Cross occurs when the 50ma crosses over the 200ma. Having the 50ma above the 200ma is commonly considered a bullish market condition and generally it is. In the 7/9/20 blog post I looked at SPX Golden Crosses dating all the way back to 12/31/1928. I have updated that research tonight with Amibroker Software and Norgate Data. Below is

Quantocracy’s Daily Wrap for 02/01/2023

This is a summary of links featured on Quantocracy on Wednesday, 02/01/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Navigating the Matrix: The Impact of Covariance on Portfolio Stability [Alex Botsula]

    I run some experiments on the impact of covariance matrix construction on portfolio stability. In particular, the following ways to generate a covariance matrix will be attempted: Sample covariance the most basic approach to construct a simple covariance matrix based on historical return data Shrinkage of covariance matrix additional shrinkage applied to all off-diagonal elements of the
  • An Analysis of Rebalancing Performance Dispersion [Quantpedia]

    The theme of rebalancing in longer-term investing is neglected but important as it influences the overall portfolios performance and risk. Unfortunately, many investors are inconsistent in choosing dates for their rebalances of portfolios, resulting in hardly predictable results (whether positively or negatively affecting it), and not contributing to handling risk management properly. The
  • Fast but not furious: Do fast trading rules actually cost a lot to trade? [Investment Idiocy]

    This is the second post in a series I'm doing about whether I can trade faster strategies than I currently do, without being destroyed by high trading costs. The series is motivated in the first post, here. In this post, I see if it's possible to 'smuggle in' high cost trading strategies, due to the many layers of position sizing, buffering and optimisation that sit between the

Quantocracy’s Daily Wrap for 01/30/2023

This is a summary of links featured on Quantocracy on Monday, 01/30/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Equity & Bond Correlations Higher than Assumed? [Finominal]

    Using monthly versus daily returns when calculating correlations can change the perspective Foreign stock markets and US bond markets were highly correlated to US stocks using monthly returns Diversification benefits may have been significantly overstated using daily returns INTRODUCTION Investing can seem like an endless cycle of booms and busts. The markets and instruments may change tulips
  • Can factor investing become scientific? [Mathematical Investor]

    A new paper, Causal factor investing: Can factor investing become scientific?, has been written by our esteemed colleague Marcos Lopez de Prado of Cornell University, Abu Dhabi Investment Authority and True Positive Technologies. In his 75-page preprint, Lopez de Prado argues that almost all journal articles in the factor investing literature make assertions that are merely associational
  • Political beta: what does portfolio theory tell us? [Alpha Architect]

    Using portfolio theory, the authors of this piece develop an approach for estimating the degree of political risk between a country and its export destination and the status of political relationships. The research about political beta presented is the first to apply portfolio theory to problems associated with global politics. Political Beta Raymond Fisman, April Knill, Sergey Mityakov, and

Quantocracy’s Daily Wrap for 01/29/2023

This is a summary of links featured on Quantocracy on Sunday, 01/29/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Couple of New Interesting Developments Concerning the Global Growth Cycle Strategy [Grzegorz Link]

    A couple of new and interesting developments concerning the Global Growth Cycle strategy are available: – first of all, what I've called an important test of the strategy from 2021/22 apparently went well. The ensuing bear market of 2022 has been largely avoided by positioning per the GGC. The risk-off signal from December 2021 appeared to be perfect timing, though keep in mind that
  • Trading Anomalies [Jonathan Kinlay]

    An extract from my new book, Equity Analytics.
  • Annualizing volatility [Quant Dare]

    Volatility is one of the best known and most widely used concepts in finance. Given a price series of a financial instrument, its volatility is defined as the dispersion of the returns. This measure is used to compare securities in terms of risk. But in order to compare, sometimes it is necessary to scale. In this post we explain the mathematical foundation of the annualized volatility. Anybody
  • Fiscal policy criteria for fixed-income allocation [SR SV]

    The fiscal stance of governments can be a powerful force in local fixed-income markets. On its own, an expansionary stance is seen as a headwind for long-duration or government bond positions due to increased debt issuance, greater default or inflation risk, and less need for monetary policy stimulus. Quantamental indicators of general government balances and estimated fiscal stimulus allow

Quantocracy’s Daily Wrap for 01/24/2023

This is a summary of links featured on Quantocracy on Tuesday, 01/24/2023. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck [Flirting with Models]

    We have published a new paper on the topic of rebalance timing luck in option strategies: The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck. Prior research and empirical investment results demonstrate that strategy performance can be highly sensitive to rebalance schedules, an effect called rebalance timing luck (RTL). In this paper we extend the empirical analysis to