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Quantocracy’s Daily Wrap for 03/15/2022

This is a summary of links featured on Quantocracy on Tuesday, 03/15/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trend-following and Mean-reversion in Bitcoin [Quantpedia]

    Indisputably, trend-following and mean-reversion are two key concepts in quantitative investing or technical analysis. The trend-following proponents suggest a performance continuation and that assets that have performed well will continue to do so. In other words, the trend-following strategies are characterized primarily as buying high and selling even higher. Conversely, the mean-reversion
  • Analyzing intraday and overnight stock returns with pandas [Wrighters.io]

    I recently saw some chatter about a technical paper discussing the contrast between overnight and intraday stock returns. In the paper, we learn that overnight stock returns far outpace returns seen intraday during regular trading hours. In other words, stocks move the most when markets are not open, but when trading is taking place, the net returns seem to be close to zero. The paper claims this
  • Is there any edge in holding stocks overnight? Correction [Rotating Stocks]

    In my previous post I discussed about trading overnight, since there was a clear edge holding the SPY over night. But due to small mistake that I made in my testing the results were bad and the edge disappeared. The mistake was setting commissions as 0.05 $ per share instead of 0.005$ per share. This is a clear reminder why we need to use low commission broker if we want to trade with high

Quantocracy’s Daily Wrap for 03/14/2022

This is a summary of links featured on Quantocracy on Monday, 03/14/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Risk-Managed Equity Exposure [Factor Research]

    Risk management overlays tend to reduce stock market returns However, they also can reduce drawdowns and increase Sharpe ratios Given that diversification has become more difficult, these are becoming more relevant INTRODUCTION It is tough to have high return expectations for stocks for the coming years. Stocks may go up in the short-term, but over the long-term, returns are primarily a function
  • Are Financial Crises Predictable? [Alpha Architect]

    Who among us wouldnt want to be the savior that predicts a market crisis and saves our clients from losses in capital or even better profits from them? A central topic of interest for academics is whether there are more precise tools to predict financial crises. Those who believe so dedicate their efforts to finding early warning indicators. In this paper, the authors estimate the

Quantocracy’s Daily Wrap for 03/12/2022

This is a summary of links featured on Quantocracy on Saturday, 03/12/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Factor Investing Premiums and the Economic Cycle [Alpha Architect]

    Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, the authors of the 2017 study Fama-French Factors and Business Cycles examined the behavior of six Fama-French factorsmarket beta (MKT), size (SMB), value (HML), momentum (MOM), investment (CMA), and profitability (RMW)across business cycles, splitting them into four

Quantocracy’s Daily Wrap for 03/08/2022

This is a summary of links featured on Quantocracy on Tuesday, 03/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Factor Performance in Cold War Crises – A Lesson for Russia-Ukraine Conflict [Quantpedia]

    The Russia-Ukraine war is a conflict that has not been in Europe since WW2. And it has great implications not only on human lives but also on security prices. It bears numerous characteristics of the cold war crises, where two nuclear powers (Soviet Union and USA/NATO) were often very close to hot war or were waging a proxy war in 3rd countries. We thought it might be wise to look at similar
  • New Accounting Standards and Factor Investing [Alpha Architect]

    How well do quantitative investors navigate around the changes to the accounting standards that are endemic to the financial data used in quantitative strategies? The numbers reported on financial statements are wholly governed by regulation and by each firms interpretation of those accounting standards. So do quants stick to their empirical evidence on old data methods or do they react in

Quantocracy’s Daily Wrap for 03/07/2022

This is a summary of links featured on Quantocracy on Monday, 03/07/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to gamble with demons (and make money doing it) [Raposa Trade]

    A demon comes to you one night giving you a simple dice game to play. You're offered the chance to wager your wealth and receive a 50% increase if you roll a 6, 5% bump if you roll 2-5, or lose 50% if you roll a 1. You also get 300 rolls and get to compound your wealth with each roll of the die. Do you play? Most people would jump at this opportunity. They'd look at the average of these
  • Commodities vs Commodity ETFs [Factor Research]

    The average correlation between oil and oil ETFs was only 0.8 Gold ETFs provide better exposure to gold than oil ETFs to oil Gold mining stocks are hybrids that feature gold and equity beta INTRODUCTION As the war in Russia unfolded, crude oil (WTI) breached $100 per barrel, which was last seen in 2014. Inflation was already at a multi-decade-high level in most developed countries before this

Quantocracy’s Daily Wrap for 03/04/2022

This is a summary of links featured on Quantocracy on Friday, 03/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Bittrex API – An Introductory Guide [Algo Trading 101]

    Bittrex API is a method that allows us to automatically trade cryptocurrencies on Bittrex via code. What is Bittrex? Bittrex is an online cryptocurrency exchange platform that allows its users to trade over 700 trading pairs. As one of the oldest US-based exchanges, Bittrex is known for its excellent safety practices and transaction speed. Is Bittrex API free? Creating a Bittrex account and using
  • Active mutual funds underperform passive funds, again [Mathematical Investor]

    In a previous Mathematical Investor blog, we presented data on actively managed fund versus passive fund performance over various time horizons, based on the February 2019 Morningstar Active-Passive Barometer report. These data showed, for instance, that only 12.6% of actively managed U.S. large value funds outperformed a comparable passive index fund over a 3-year horizon, and only 8.3% did so
  • How to manage systemic risk in asset management [SR SV]

    Systemic crises are rare but critical for long-term performance records. When the financial system fails, good trades become bad trades and many sensible investment strategies incur outsized losses due to deleveraging and liquidation pressure. Managers have two principal sets of tools to address systemic risk. The first is estimation and control of tail risk. The second is a contingency plan for
  • Factor Investing: Are Internally Generated Intangibles Worthless? [Alpha Architect]

    As mind-bending as it sounds, although a companys internally generated intangible investments generate future value, they are currently not accepted as assets under US GAAP. Omission of this increasingly important class of assets reduces the usefulness and relevance of financial statement analysis that uses book value. In fact, Amitabh Dugar and Jacob Pozharny, authors of the December 2020

Quantocracy’s Daily Wrap for 03/03/2022

This is a summary of links featured on Quantocracy on Thursday, 03/03/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 03/01/2022

This is a summary of links featured on Quantocracy on Tuesday, 03/01/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Where Tactical Asset Allocation Stands Now (Feb 28, 2022) [Allocate Smartly]

    It always feels a little offensive talking dollars and cents at times like this (*), but we hope that by helping investors to have a concrete strategy, we can at least take this one stress off the table. We track 60+ Tactical Asset Allocation (TAA) strategies, allowing us to draw some broad conclusions about TAA as a style. So far, TAA has followed the pattern investors have come to expect:
  • Is 60:40 a dead parrot? Or just resting? [Investment Idiocy]

    Very brief blog post this month; I'm deep into book writing mode at the moment. Chanelling Clif Assness, I'm just going to present a few charts and lead you to draw your own conclusions. Excess / futures returns from portfolio of 60% S&P 500, 40% US Ten year treasuries (Authors own data) Jorda et al The rate of return on everything QJE 2019 One year rolling correlation of

Quantocracy’s Daily Wrap for 02/28/2022

This is a summary of links featured on Quantocracy on Monday, 02/28/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Momentum in Emerging Markets [Factor Research]

    Long-short momentum investing highlights attractive performance in Asia and emerging markets However, realized excess returns are significantly lower than theoretical ones Likely explained by transaction costs INTRODUCTION Momentum has been shown to generate attractive excess returns across eight different markets and asset classes by AQR, a quantitative asset manager. Christopher Geczy and
  • Follow The Leader To Make Money In Stocks [Decoding Markets]

    Theres a reason that international traders, whether theyre in Tokyo, Singapore, or London, follow the US markets. The US is the hub of global finance. Its on Wall Street where everything is happening. Watching the reaction of European markets to the opening of US markets demonstrates this. When the US market bell rings, theres a spike in volume (and volatility) across European assets.

Quantocracy’s Daily Wrap for 02/26/2022

This is a summary of links featured on Quantocracy on Saturday, 02/26/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Beware of Excessive Leverage – Introduction to Kelly and Optimal F [Quantpedia]

    Most investors focus solely on the profitability of their investment strategy. And, even though having a profitable strategy is important, it is not everything. There are still numerous other things to consider. One of them is the size of the investment. The investment size can increase or decrease the profitability of a strategy, so it is essential to choose it right. The following article is our
  • Re: Ukraine [Only VIX]

    As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake – Putin's goal in not to stop the expansion of NATO, not to install puppet government, and certainly not to bring peace. The goal is genocide of Ukrainian people. When Ukraine was under Russian communist occupation, Russians started off with killing of political leaders,
  • Is there any edge in holding stocks overnight? [Rotating Stocks]

    Holding stocks overnight is when we buy the close and sell the following day on the open. Is there any edge in this approach in comparison to buying the open and selling the close. Today we will check this phenomenon. We will check the performance of the SPY, then we will try to check it on individual stocks. What is holding stocks overnight? There is a common knowledge that the stock market