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Quantocracy’s Daily Wrap for 01/19/2019

This is a summary of links featured on Quantocracy on Saturday, 01/19/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Drawdown control [SR SV]

    Containment of drawdowns and optimization of performance ratios for multi-asset portfolios is critical for trading strategies. Alas, short data series or structural changes often render estimates of covariance matrices unreliable. A popular solution is risk-parity with volatility targeting. An alternative is MinMax drawdown control, which builds on a broad interpretation of drawdowns as
  • Software engineering is as important as data science [Cuemacro]

    I end up tweeting a lot. Possibly, far too much of what I tweet is random, about burgers and so on, albeit with a modicum of tweets about markets and Python. Twitter inevitably acts like some sponge, absorbing your attention, which can often be a bad thing, but can actually also be a good thing. A lot of what I have learnt about markets and coding in recent years has been a result of seeing tweets

Quantocracy’s Daily Wrap for 01/18/2019

This is a summary of links featured on Quantocracy on Friday, 01/18/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Jack Bogle: The apostle of index investing [Mathematical Investor]

    Jack Bogle, founder of Vanguard Funds and a life-long apostle of index investing, died on 16 January 2019. Vanguard CEO Tim Buckley summarized his career in these terms: Jack Bogle made an impact on not only the entire investment industry, but more importantly, on the lives of countless individuals saving for their futures or their childrens futures. J.C. de Swaan, lecturer at Princeton
  • Buyback Blackout Periods Do Not Negatively Impact Market Performance [Alpha Architect]

    The October 2018 market correction where the S&P 500 Index fell by 7%, its worst October since 2008,(1) left investors searching for a culprit. Some of the usual suspects were blamed rising geopolitical tensions ahead of the US midterms, the high likelihood of a slowdown in economic and earnings growth after the sugar rush of fiscal stimulus and tighter monetary policy leading to higher
  • Compound Your Knowledge: Episode 1 [Alpha Architect]

    Welcome to the newly re-titled weekly video, Compound Your Knowledge. In todays video, we examine three posts. First, we examine a simple analysis of 2018 Factor portfolio returns. Second, we examine a guest post by Jon Seed examining Warrens put options, and how they are different than most investors put options. Last, we examine a guest post by Tommi, discussing a new Fama and French
  • Whither Fragility? Dual Momentum GEM [Dual Momentum]

    Corey Hoffstein of Newfound Research recently wrote an article called, Fragility Case Study: Dual Momentum GEM. Corey starts out saying my dual momentum approach is the strategy he sees implemented the most among do-it-yourself tactical investors. Corey then said several investors bemoaned that GEM kept them invested in the stock market during the last quarter of 2018. It signaled them out

Quantocracy’s Daily Wrap for 01/17/2019

This is a summary of links featured on Quantocracy on Thursday, 01/17/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Livingston’s Muscular Portfolios [Allocate Smartly]

    This is a test of two tactical asset allocation strategies from Brian Livingstons new book Muscular Portfolios and his site MuscularPortfolios.com: the Mama Bear and Papa Bear Portfolios. The short and sweet take: neither of these strategies tread new ground theyre both based on the tried and true concept of relative (aka cross-sectional) momentum, and both are very

Quantocracy’s Daily Wrap for 01/16/2019

This is a summary of links featured on Quantocracy on Wednesday, 01/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Historical View Of Extreme Short-Term Gains In $OEX Components [Quantifiable Edges]

    As I write this around 11am EST both NFLX and CELG are threatening to close up > 50% from their December 24th closing price, just 14 trading days ago. While that sometimes happens with speculative smallcap stocks, it is very unusual to see a largecap S&P 100 stock accomplish such strong gains in such a short period of time. In fact, the last instance of a 50% close to close gain within 15
  • Factor investing in the currency market [Quant Dare]

    Factor investing is a broadly used approach in asset management, specially for the equity market, but, can we apply this idea in order to explain currency returns? The idea at the core of factor investing is that there are different sources of risk in the market and that the exposure of the different assets to these sources of risk explain asset returns over the long term. Lets start the post
  • Quarterly Analysis and Commentary: Q4 2018 [Alpha Architect]

    Weve posted our quarterly attribution materials on our performance site.(1) We enjoyed putting the materials together and think they will be informative for those who follow our Indexes. The materials and videos are part of our long-term plan is to continually improve our quarterly communications and education efforts. If you have suggestions/comments, please reach out and let us know. Lets

Quantocracy’s Daily Wrap for 01/15/2019

This is a summary of links featured on Quantocracy on Tuesday, 01/15/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Harvesting Risk Premia [Robot Wealth]

    Trading and investing doesnt have to be complicated. Check out this chart: source: Dimson, Marsh and Staunton, Triumph of the Optimists The blue line shows returns from US Stocks from 1900 to today. Thats a 48,000x increase in nominal value. The yellow line shows returns from US Bonds from 1900 to today. Thats a 300x increase in nominal value. So its pretty obvious what we need to do
  • The Most Volatile Stock Markets in the World [Quant Rocket]

    Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries. Methodology Using historical data from Interactive Brokers, I calculate the standard deviation of daily (close-to-close),
  • Equity investing is Riskier than You Probably Expected [Alpha Architect]

    The purpose of this study was to examine the changes in the distribution of the US equity risk premium as the return horizon varies from monthly, annually, 3 year, 5 year, 10 year, 20 and 30 year periods. The equity premium was calculated as the monthly difference between the Market and Treasury bill returns. Two types of simulations were conducted: (1) the first simulation treated the sample of

Quantocracy’s Daily Wrap for 01/14/2019

This is a summary of links featured on Quantocracy on Monday, 01/14/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Fragility Case Study: Dual Momentum GEM [Flirting with Models]

    Recent market volatility has caused many tactical models to make sudden and significant changes in their allocation profiles. Periods such as Q4 2018 highlight model specification risk: the sensitivity of a strategys performance to specific implementation decisions. We explore this idea with a case study, using the popular Dual Momentum GEM strategy and a variety of lookback horizons for
  • ESG Investing: Too Good To Be True? [Factor Research]

    ESG factors generated positive excess returns since 2009 Show positive exposure to Low Volatility & Quality and negative exposure to Value & Size Factor exposure is likely structural and not temporary INTRODUCTION BlackRock is aggressively launching products with high environmental, social, and governance (ESG) ratings. The firms CEO, Larry Fink, recently predicted that assets under

Quantocracy’s Daily Wrap for 01/13/2019

This is a summary of links featured on Quantocracy on Sunday, 01/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Most popular posts 2018 [Eran Raviv]

    2019 is well underway. 2018 was personally difficult, so I am happy its behind us. Without further ado, here is what my analytics report shows to be the three most popular posts for 2018: Create own Recession Indicator using Mixture Models (3:53 minutes average time on page) Portfolio Construction with R (5:03 minutes average time on page) Machine learning is simply statistics (3:49

Quantocracy’s Daily Wrap for 01/12/2019

This is a summary of links featured on Quantocracy on Saturday, 01/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quandl’s Third Annual Data Conference – Feb 28th, New York City [Quandl]

    Quandl, the leading platform for financial and alternative data, will host its third annual Quandl Data Conference (formerly the Alternative Data Conference) on February 28, 2019, at Convenes 46th St. location in New York City. We launched this event nearly three years ago to create awareness of what was then a new idea: alternative data, said Tammer Kamel, CEO of Quandl. Alternative
  • January Opex Weak [Quantifiable Edges]

    Opex week overall has typically been a bullish part of the month for the market. But over the last 20 years, January has been a major exception to this rule. The table below shows results of buying the Friday before options expiration week in January and then selling at the close of option expiration Friday, which is the 3rd Friday of the month. 2019-01-11-1 15 of the last 20 January opex weeks
  • Where to find free data for markets [Cuemacro]

    If you do any sort of analysis of markets, you need market data and related datasets. Without data, you are kind of stuck! There are of course many market datasets which are available to purchase from data vendors. However, what type of datasets are available for free (aside from crypto markets, where there is a massive amount of free data)? A surprising number of free data sources are available
  • Liquidity yields and FX [SR SV]

    Liquidity yields are convenience yields of financial securities that typically arise from high liquidity, suitability as collateral or preferred regulatory status. New research argues that relative changes in liquidity yields on government bonds across countries have a significant impact on exchange rate dynamics. Theoretically, an unexpected increase in the liquidity yield on government bonds in

Quantocracy’s Daily Wrap for 01/11/2019

This is a summary of links featured on Quantocracy on Friday, 01/11/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 01/09/2019

This is a summary of links featured on Quantocracy on Wednesday, 01/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How Bad Was 2018 s Volatility? [Alvarez Quant Trading]

    I have a Google Home in my bathroom that I play a morning routine while I shave, brush my teeth and get ready for the day. One step is to play The Indicator podcast from Planet Money. This morning they were talking about how 2018 was one of the most volatile years on record for the stock market. Of course that caught my attention and I wanted to discover how they measured that. The
  • Omega ratio, the ultimate risk-reward ratio? [Quant Dare]

    If you are working in finance, you have almost surely heard of risk-reward ratios and probably used some of them to evaluate the performance of a stock, ETF, or any other investment strategy. Among the different alternatives, the most popular risk-reward ratio is the so-called Sharpe ratio, first introduced by William F. Sharpe in 1966. It was originally termed reward-to-variability ratio and,