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Quantocracy’s Daily Wrap for 06/10/2022

This is a summary of links featured on Quantocracy on Friday, 06/10/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trend-Following in the Times of Crisis [Quantpedia]

    When someone mentions a financial crisis, most people immediately think of the global financial crisis of 2007-2008. Even though this is the most significant economic crisis in recent years, there have been many more significant crisis periods in the past 100 years. This article examines the biggest crises in three asset classes: stocks, bonds, and commodities, during the past century.
  • The Unintended Consequences of Single Factor Strategies [Alpha Architect]

    Since the 1992 publication of The Cross-Section of Expected Stock Returns by Eugene Fama and Kenneth French factor-based strategies and products have become an integral part of the global asset management landscape. While top-down allocation to factor premiums (such as size, value, momentum, quality, and low volatility) has become mainstream, questions remain about how to efficiently
  • Research Review | 10 June 2022 | Risk Premia Sources [Capital Spectator]

    Inflation as the Source of the Bond, Equity, and Value Premia Martin Tarlie (GMO) May 2022 A no-arbitrage pricing model with inflation as the only priced risk factor explains the bond, equity, and value premia observed in the United States over the past sixty years. Even though inflation is the only priced factor, in an economy with three state variables inflation, the real rate, and corporate

Quantocracy’s Daily Wrap for 06/08/2022

This is a summary of links featured on Quantocracy on Wednesday, 06/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Best Performing Value Strategies – Part 2 [Quantpedia]

    Value trading strategies have come back into spotlight in recent years. After lackluster performance in years 2018, 2019, 2020, Value has staged a strong comeback in 2021 and also in 2022. With a long history of systematic equity Value strategies, many different variants of the strategy have emerged. In the first part of this article, we picked 16 US equity value trading strategies out of
  • Visualizing the Robustness of the US Equity ETF Market [Alpha Architect]

    Market commentators sometimes suggest that the equity ETF market is just a bunch of index funds that all do essentially the same thing: deliver undifferentiated stock market exposure. How true is that statement? Fortunately, we can test the hypothesis that the ETF market is roughly a few thousand different ways to capture the same basic risk/returns. To do so, we leverage our Portfolio

Quantocracy’s Daily Wrap for 06/07/2022

This is a summary of links featured on Quantocracy on Tuesday, 06/07/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Mean-Variance Optimization in Practice: Subset Resampling-based Efficient Portfolios [Portfolio Optimizer]

    In a previous post, I introduced near efficient portfolios, which are portfolios equivalent to mean-variance efficient portfolios in terms of risk-return but more diversified in terms of asset weights. Such near efficient portfolios might be used to moderate the tendency of efficient portfolios to be concentrated in a very few assets, a well-known stylized fact of the Markowitzs mean-variance
  • One-Month Trading Strategies [Falkenblog]

    About half of Robecos Quantitative Investing team recently published a short paper on monthly trading strategies (see Blitz et everybody Beyond Fama-French Factors: Alpha from Short-Term Signals Frequencies). I can imagine these guys talking about this stuff all the time, and someone finally says, this would make a good paper! Short-Term refer to one-month trading horizons. Anything
  • Do Connections Pay Off in the Bitcoin Market? [Alpha Architect]

    Traditional asset pricing theory holds that the workings of information networks among investors are good descriptors of equity markets. Investors that are better informed about fundamentals and who trade earlier than less well informed investors will receive higher returns. As the better information is passed on through trading, less informed investors will eventually join in
  • Factor Exposure Analysis of Fixed Income ETFs [Factor Research]

    Factor exposure analysis can be used in fixed income as easily as in equities More variables improve the explanatory power of the model However, it also can make the interpretation challenging INTRODUCTION Running a factor exposure analysis is a core element of the due diligence process for equity-focused mutual funds, and increasingly ETFs, especially actively managed ones. The holy grail is to

Quantocracy’s Daily Wrap for 06/04/2022

This is a summary of links featured on Quantocracy on Saturday, 06/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Short-term Momentum [Alpha Architect]

    Momentum, the tendency of past winner stocks to outperform past loser stocks over the next several months, is one of the most well-documented and well-researched asset pricing anomalies. In the asset pricing literature, momentum is generally defined over the short-, medium- and long-term in the following manner: Short-term reversals are defined as the prior months (t 1) return. Medium-term

Quantocracy’s Daily Wrap for 06/02/2022

This is a summary of links featured on Quantocracy on Thursday, 06/02/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Evaluating Data Coverage with Tiingo [Quant Start]

    In this article we will be introducting Tiingo, a data and stock market tools provider. Founded in 2014 Tiingo aims to empower its users by providing good, clean and more accurate data. They offer OHLCV data for 82,468 Global Securities, 37,319 US & Chinese Stocks 45,149 ETFs & Mutual Funds. They also have an intraday feed through partnership with IEX. In addition, they have fundamental
  • Options Hedging & Leveraged ETFs in Market Swings [Alpha Architect]

    Not long ago, GameStop stock rose like crazy in only a few hours with the effects of broker-dealer options hedging spurred by retail investor buying pressure. And from February to March 2020, options trading activity was also pointed to as a contributor to stock swings in the Covid-19 selloff. The market dropped 30% and then recovered quickly over the following weeks. It has been documented that

Quantocracy’s Daily Wrap for 05/31/2022

This is a summary of links featured on Quantocracy on Tuesday, 05/31/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trending Fast and Slow [Allocate Smartly]

    This is a test of a tactical strategy from the paper Trending Fast and Slow. It trades the S&P 500 by switching between fast and slow momentum based on market volatility. The strategy would have kept pace with the S&P 500, while significantly reducing the worst drawdowns. Backtested results from 1954 follow. Results are net of transaction costs see backtest assumptions. Learn about

Quantocracy’s Daily Wrap for 05/30/2022

This is a summary of links featured on Quantocracy on Monday, 05/30/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • An introduction to accessing financial data in EDGAR, using Python [Wrighters.io]

    Some sources of financial data can be expensive or difficult to find. For example, some is only available from exchanges or vendors who charge a hefty fee for access. However, the financial industry is also heavily regulated, and one of its main regulators provides free access to its data. The (U.S. Securities and Exchange Commission)[https://www.sec.gov] (known as the SEC), has the mission of
  • Introduction and Examples of Monte Carlo Strategy Simulation [Quantpedia]

    The Monte Carlo method (Monte Carlo simulations) is a class of algorithms that rely on a repeated random sampling to obtain various scenario results. Monte Carlo simulations are used to predict the probability of different outcomes when it would be difficult to use other approaches such as optimization. The main aim is to create alternative scenarios, which account for possible risk and help with
  • Duration volatility risk premia [SR SV]

    Duration volatility risk premium means compensation for bearing return volatility risk of an interest rate swap (IRS) contract. It is the scaled difference between swaption-implied and realized volatility of swap rates changes. Historically, these premia have been stationary around positive long-term averages, with episodes of negative values. Unlike in equity, simple duration volatility risk
  • Biotech Stocks: High Idiosyncratic Risks, High Alpha? [Factor Research]

    Most technological change today is an evolution rather than a revolution. Naturally, it is great to have a mobile device that allows instant access to the global knowledge depository, entertainment, shopping, and so on, but most of these innovations have been predicted decades ago by science fiction authors. Reading such novels actually makes human progress seem awfully slow. Human colonies

Quantocracy’s Daily Wrap for 05/27/2022

This is a summary of links featured on Quantocracy on Friday, 05/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • 100-Years of Multi-Asset Trend-Following [Quantpedia]

    Trend-following strategies have gained extreme popularity in the recent decade. Almost every asset manager utilizes trend following, or momentum, in some form whether consciously or subconsciously. We at Quantpedia are convinced that each and every strategy has to be scrutinized thoroughly before its put into use. This is one of our motivations why we will introduce to you our framework for
  • Strategies to Mitigate Tail Risk [Alpha Architect]

    Investors care about more than just returns. They also care about risk. Thus, prudent investors include consideration of strategies that can provide at least some protection against adverse events that lead to left tail risk (portfolios crashing). The cost of that protection (the impact on expected returns) must play an important role in deciding whether to include them. For example, buying

Quantocracy’s Daily Wrap for 05/25/2022

This is a summary of links featured on Quantocracy on Wednesday, 05/25/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Extending Historical Daily Commodities Data to 100 years [Quantpedia]

    Finding a high-quality data source is crucial for quantitative trading strategies. Also, having a long history is beneficial. Fama & French, for example, offer free historical data for stocks and a variety of factors. However, it is very hard to get good-quality and free data for other asset classes. For this reason, we have already examined how to extend historical daily bond data to 100
  • Hierarchical clustering: explanation and classification [Quant Dare]

    Clustering algorithms are one of the main techniques in the field of unsupervised learning. In the machine learning context, we understand by unsupervised learning the process of analyzing and identifying patterns in unlabeled datasets. Unsupervised learning algorithms observe similarities and differences in input data in order to discover hidden patterns or data groupings. As their name suggests,

Quantocracy’s Daily Wrap for 05/24/2022

This is a summary of links featured on Quantocracy on Tuesday, 05/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Best Performing Value Strategies – Part 1 [Quantpedia]

    Value strategies attempting at determining a fair value of an asset are one of the first-ever employed strategies in the markets. We all know about Benjamin Graham and Warren Buffet that are one of the best known examples of Value pioneers. Since then, however, Value strategies have evolved enormously. Value strategies have become a cornerstone of almost every factor portfolio, due to their
  • Risk Parity & Rising Rates [Factor Research]

    Risk parity strategies have become available via mutual funds and ETFs, but portfolio construction varies Rising interest rates are seen as a threat and recent performance was disappointing However, rising correlations between stocks and bonds would be more concerning INTRODUCTION Risk parity has been challenged ever since the worlds central banks have brought interest rates to approximately