Quantocracy

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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

Quantocracy’s Daily Wrap for 05/22/2022

This is a summary of links featured on Quantocracy on Sunday, 05/22/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Value Investing: Headwinds, Tailwinds, and Variables [Alpha Architect]

    n my past life as a rower, I spent a lot of time figuring out which way the wind was blowing: Would it be a headwind and slow things down? Or would it be a tailwind and shorten the race? But a tailwind that went against the current could cause choppy waterwhich would slow things back down. Variables affect other variables and things can get confusing, quickly. Investing is no different. A

Quantocracy’s Daily Wrap for 05/19/2022

This is a summary of links featured on Quantocracy on Thursday, 05/19/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trend Following: Timing Fast and Slow Trends [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 our book Your Complete Guide to Factor-Based Investing, Andrew Berkin and I presented the evidence of a premium that has been persistent across long periods of time, pervasive around the globe and across
  • How to Increase Factor Definition Robustness [Quant Dare]

    When dealing with factors information is important to go to the detail and get insight about how the factor is built. Ratios combination improves robustness. When we read papers or studies about the Factor Premium of different factors we almost always come across with the problem of how to define those factors: If we talk about Value Factor, we read in many papers that the factor is measured by
  • Can You Predict Cryptocurrencies? [Decoding Markets]

    The Nobel price laureate physicist Niels Bohr once said, Prediction is very difficult, especially if its about the future. This quote captures the reality in the markets rather accurately. Is Bitcoin breaking through the 50k mark this year? Or even the 100k mark? Will Ethereum outperform Solana between now and the end of the year? Will Bitcoin close higher or lower by the end of the week?

Quantocracy’s Daily Wrap for 05/18/2022

This is a summary of links featured on Quantocracy on Wednesday, 05/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Extending Historical Daily Bond Data to 100 Years [Quantpedia]

    Finding a good data source with quality data and long history is one of the greatest challenges in quantitative trading. There definitely are some data sources with very long histories. However, they tend to be on the more expensive side. On the other hand, cheap or free data usually lacks quality and/or has shorter time frames. This article explains how to combine multiple data sources to create
  • SPX and Gold Momentum Portfolio [Alvarez Quant Trading]

    Given the current rise in inflation, there has been a lot more interest in assets that do well during these times. Gold is one asset that is frequently brought up as an inflation hedge. I have also seen more lately about combining these two into a portfolio. Testing Notes The test range is from 1970 to 2021 using $SPX (S&P 500 Index) and @GC (Gold London PM Fix) from Norgate Data. A couple

Quantocracy’s Daily Wrap for 05/16/2022

This is a summary of links featured on Quantocracy on Monday, 05/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Inflation as equity trading signal [SR SV]

    Academic research suggests that high and rising consumer price inflation puts upward pressure on real discount rates and is a headwind for equity market performance. A fresh analysis of 17 international markets since 2000 confirms an ongoing pervasive negative relation between published CPI dynamics and subsequent equity returns. Global equity index portfolios that have respected the inflation
  • Bayesian net and Boparan 7.625% 30 Nov 2025 Prospectus [Gautier Marti]

    This blog is a follow-up on a first naive modelling of Matalan notes using Bayesian nets. Bayesian nets are a good tool to quantify qualitative knowledge, as explained here. The work presented in this blog post was mostly realized by Zhiyuan Shen in the context of his financial mathematics master of science at HKUST. The purpose of this work is to build a Bayesian network which would summarise and
  • Form 3 and Form 4 Alpha: Focus on What Insiders Don’t Trade [Alpha Architect]

    Plenty of research ( most recently, Cziraki et al. 2021) shows that insider buys contain value-relevant information while insider sales include little to no information. But what about the action of not trading? The authors of this study ask the following: Are the trades of portfolio insiders informative about the stocks they choose not to trade, those they choose not to buy, and those they

Quantocracy’s Daily Wrap for 05/13/2022

This is a summary of links featured on Quantocracy on Friday, 05/13/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The 1-2 Punch of Major Losses in Both Stocks and Government Bonds [Allocate Smartly]

    This is a follow up to our previous post. Same subject, additional data. Both stocks and government bond funds have suffered major losses this year. Stocks and gov bonds form the core of most portfolios. Gov bonds tend to counterbalance risk assets, helping to smooth returns during periods of market stress. But so far this year, theyve failed to deliver when needed. Big drawdowns in risk assets
  • Momentum Investing: What happens if we boot stocks over 10x P/S? [Alpha Architect]

    Short answer up frontvery little.(1) This was a simple question posed to me by one of our blog readerswhat impact does excluding stocks trading at 10x P/S have on a Momentum portfolio? A good questionespecially for those who are value investors that are interested in momentum. For most systematic value investors, the prospect of adding stocks trading at over 10x P/S sounds
  • Institutions Trading Against Anomalies: Are Their Trades Informed? [Alpha Architect]

    Outperforming the market, before expenses, is a zero-sum gameif one group of active investors outperforms, another group of active investors must underperform. Is there a group of sophisticated investors who persistently exploit more nave investors? The body of research has found that before expenses, as a group, institutional investors outperform. For example, in his study Mutual Fund

Quantocracy’s Daily Wrap for 05/11/2022

This is a summary of links featured on Quantocracy on Wednesday, 05/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Selecting a Stock Market Data (Web) API: Not So Simple [Portfolio Optimizer]

    I am sometimes asked if I recommend any stock market data (web) API for a personal use, especially because I mention Alpha Vantage in a couple of previous posts1. I will describe in this post part of the thought process and of the due diligence which led me to select this financial market data provider together with another one (suspense). Notes: Some code snippets for pulling data out of
  • Historic and recent performance by trading rule [Investment Idiocy]

    Another brief post this month; the deadline for the first draft of my latest book is only a couple of months away and I haven't got much free time! But I was asked an excellent question on twitter recently, which was how the various types of trading rule have contributed to my p&l this year. TLDR: divergent eg momentum good, skew brilliant, other convergent rules poor. In fact with my new

Quantocracy’s Daily Wrap for 05/07/2022

This is a summary of links featured on Quantocracy on Saturday, 05/07/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Top Quantitative Finance Blogs and Vlogs: Review 2022 [Quant at Risk]

    The Internet is full of articles covering all kinds of aspects related to finance. Stocks, crypto, indexes have always been a hot topic and many are seeking new ideas in these areas. It is true that in a vast amount of the content one may get lost. There are tons of blogs with irrelevant, outdated, or even false subject matter. Quite often these blogs cover market commentary with off the subject

Quantocracy’s Daily Wrap for 05/05/2022

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

  • Using Momentum to Find Value [Alpha Architect]

    Value and momentum are two of the most powerful explanatory factors in finance. Research on both has been published for over 30 years(1). However, it was not until recently that the two had been studied in combination and across markets. Bijon Pani and Frank Fabozzi contribute to the literature with their study Finding Value Using Momentum, published in The Journal of Portfolio Management
  • Achieving a well-diversified portfolio based on Graph Theory [Quant Dare]

    Graph Theory is widely used in almost every area of interest for visualization or analysis purposes but, for some reason, it is not usually applied in finance. Why not trying to take advantage of its potential in portfolio management? Introduction Current uncertainty is causing very pronounced movements in financial markets, so having a well-diversified portfolio is now more important than ever.
  • The Future of Factor Investing [Alpha Architect]

    In this article, the authors expound on the importance of the factor revolution in finance. Factor investing has moved from a bedrock position to a future of innovation and disruption. With respect to factors the authors discuss where we have been and what can we look forward to. What are the Academic Insights? At the most basic level, factors have been at the center of modern portfolio

Quantocracy’s Daily Wrap for 05/01/2022

This is a summary of links featured on Quantocracy on Sunday, 05/01/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Economic growth and FX forward returns [SR SV]

    Economic growth differentials are plausible predictors of foreign exchange return trends because they are related to differences in monetary policy and return on investment. Suitable metrics for testing growth differentials as trading signals must replicate historic information states. Two types of such metrics based on higher-frequency activity data are [i] technical GDP growth trends, based on
  • Video: Economic Data Analysis with Python Pandas (h/t @PyQuantNews) [Medallion Data Science]

    In this video kaggle grandmaster Rob Mulla takes you through an economic data analysis project with python pandas. We walk through the process of pulling down the data for different economic indicators, cleaning and joining the data. Using the Fred api you can pull up to date data and compare, analyze and explore.