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Quantocracy’s Daily Wrap for 10/12/2017

This is a summary of links featured on Quantocracy on Thursday, 10/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Dividend Capture Strategy: Trade Execution Matters [Alpha Architect]

    One area in investing that is often overlooked by investors is trade execution, which relates primarily to commissions, bid-ask spreads, and price impact. Yet sometimes it is trade-execution alone that can make the difference between and profitable trade and an unprofitable one. In a new paper, Ex-Dividend Profitability and Institutional Trading Skill, by Henry and Koski, the authors examine

Quantocracy’s Daily Wrap for 10/11/2017

This is a summary of links featured on Quantocracy on Wednesday, 10/11/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Returns-based Approach: Incorporating Microcap in Equity Allocations [Factor Investor]

    We are often asked how much of a plans assets should be allocated to microcap equities. As long-term investors that view the opportunity set through the lens of factors, our answer is usually some version of "probably more than you currently do." Microcap is a very challenging asset class to evaluate. There is little empirical research specific to the intricacies of the space, and

Quantocracy’s Daily Wrap for 10/10/2017

This is a summary of links featured on Quantocracy on Tuesday, 10/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Replicating Indexes In R With Style Analysis: Part I [Capital Spectator]

    In the quest for clarity in portfolio analytics, Professor Bill Sharpes introduction of returns-based style analysis was a revelation. By applying statistical techniques to reverse engineer investment strategies using historical performance data, style analysis offers a powerful, practical tool for understanding the source of risk and return in portfolios. The same analytical framework can be
  • The Kelly Criterion and Option Trading [Highly Evolved Vol]

    The Kelly criterion can be used to calculate the optimal size of a trade. Specifically, it gives the size that increases the trader's account at the fastest possible rate. It is possible that a given trader might not actually want this. She might want some sort of volatility or draw down constraint as well, but traders should still understand the ideas and implications of Kelly sizing. And

Quantocracy’s Daily Wrap for 10/09/2017

This is a summary of links featured on Quantocracy on Monday, 10/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Death, Taxes, and Mean-Reversion? [Factor Research]

    SUMMARY Mean-reversion has not performed well over the last few years Highly sensitive to model assumptions The strategy is an attractive addition for an equity-centric portfolio INTRODUCTION According to Benjamin Franklin death and taxes are the only two certainties in life. In finance, where much is uncertain, especially the future, mean-reversion might be considered a certainty. Mean-reversion
  • Problems in the Optimization of Swing Portfolios [QUSMA]

    Assume you have a bunch of different systems that trade stocks, equity index ETFs, bond ETFs, and some other alternative assets, eg commodity ETFs. All the systems take both long and short positions. What are the questions your portfolio optimization approach must answer? This is a post focused on high-level conceptual issues rather than implementation details. Do I want market factor exposure? By
  • Tactical, But When? [Flirting with Models]

    Were often asked, is now a good time to implement tactical strategies? We believe there are better and worse periods for tactical, largely based upon expected risk/reward trade-offs and available diversification opportunities. For investors, we believe an equally important consideration is where they are in their investment lifecycle trajectory. For investors with longer horizons, the
  • Academic Research Insight: Does Social Capital payoff during times of crisis in the markets? [Alpha Architect]

    Title: Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis Authors: Karl V. Lins, Henri Servaes, and Ane Tamayo Publication: The Journal of Finance, Vol. LXXII, No. 4, August 2017 The present financial crisis springs from a catastrophic collapse in confidence. . . Financial markets hinge on trust, and that trust has eroded.

Quantocracy’s Daily Wrap for 10/08/2017

This is a summary of links featured on Quantocracy on Sunday, 10/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Analyzing A South African Financial News Twitter Corpus using a Topic Model [Top of The Bell Curve]

    Over the past decade there has been an increase in the amount of digital information that is available. In particular, there is now vasts amount of data that is available on social media platform such as twitter and Facebook that can be analysed to gain further insight and to establish sentiment about a particular topic. This information can then be used as additional input into a portfolio

Quantocracy’s Daily Wrap for 10/06/2017

This is a summary of links featured on Quantocracy on Friday, 10/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Reconciling Individual Stock Returns and Factor Portfolio Returns [Alpha Architect]

    Those in the financial media have recently been writing multiple stories on a fascinating working paper, Do Stocks Outperform Treasury Bills? by Hendrik Bessembinder. We originally highlighted the paper on our blog in January. However, recent stories by those at the New York Times (here and here), Bloomberg (here and here), and ETF.com (here) have brought the paper back into the spotlight.
  • getSymbols and Alpha Vantage [Foss Trading]

    Thanks to Paul Teetor, getSymbols() can now import data from Alpha Vantage! This feature is part of the quantmod 0.4-11 release, and provides another another data source to avoid any Yahoo Finance API changes*. Alpha Vantage is a free web service that provides real-time and historical equity data. They provide daily, weekly, and monthly history for both domestic and international markets, with up
  • Volume Filters (Part 2) | Trading Strategy (Entry & Exit) [Oxford Capital]

    Developer: Joseph Granville (On-Balance Volume); R. D. Donchian (Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by OBV (On-Balance Volume) filters. Research Question: Can volume filters improve price breakouts? Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Entry Setup: High[i] > EntryUpPriceChannel[i 1]. Short Entry Setup: Low[i]

Quantocracy’s Daily Wrap for 10/05/2017

This is a summary of links featured on Quantocracy on Thursday, 10/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Comparing Supervised Learning Methods for Hang Seng Futures Long/Short Strategy [Golden Compass]

    Trend prediction in financial markets is a very complex task, due to the fact that prices are inherently noisy, non-stationary, and deterministically chaotic. In recent years, studies have leveraged various machine learning algorithms to tackle this task. Leung, Chen, and Daouk (2001) used a Probabilistic Neural Network to forecast the trend of index return on the Taiwan Stock Exchange Index, and
  • Strong down performance for trend following in September [Wisdom Trading]

    September 2017 Trend Following: DOWN -5.31% / YTD: -21.01% The Wisdom State of Trend Following index had a rough September, unfortunately following the trend of the last 18 months and going through the -20% mark for the year so far. With only 3 months to go, 2017 is shaping up to be a strong negative one for the strategy, like last year. Below is the full State of Trend Following report as of last

Quantocracy’s Daily Wrap for 10/04/2017

This is a summary of links featured on Quantocracy on Wednesday, 10/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Indicator Comparison: Ehler My Stochastic Indicator, RSI and ConnorsRSI [Alvarez Quant Trading]

    Like all traders, I am always on the lookout for any new indicators better than the ones I am using. I have been using and promoting RSI2 since 2004 for mean reversion trading. I created the ConnorsRSI in 2012. Am I married to these indicators? No. If I find something better I will drop them. I came across this article Battle of the oscillators, I had to try it out. One thing to understand,

Quantocracy’s Daily Wrap for 10/03/2017

This is a summary of links featured on Quantocracy on Tuesday, 10/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hiking Mountains, Gladly, To Honor The Fallen [Alpha Architect]

    Landon Thomas Jr. recently wrote an article in the New York Times regarding our participation in the recent March for the Fallen Event. Landons article was well-written and provided a compelling narrative. However, much of the attention of the article was focused on Alpha Architect and my personal story, which we genuinely appreciate. But I was one of many There were 500+ alongside us on the
  • Capital Raising for Early Stage Quant Fund Managers – Part I [Quant Start]

    This is the first in a two part series of articles written by Frank Smietana, an expert guest contributor to QuantStart. In this article Frank takes a look at how early-stage quantitative hedge fund managers can go about looking to secure their first institutional allocation of capital. Please be aware that since this article discusses capital allocation, the article (and any information accessed
  • Suggestion of a New Currency Factor Model [Quantpedia]

    We examine the ability of existing and new factor models to explain the comovements of G10-currency changes. Extant currency factors include the carry, volatility, value, and momentum factors. Using a new clustering technique, we find a clear two-block structure in currency comovements with the first block containing mostly the dollar currencies, and the other the European currencies. A factor

Quantocracy’s Daily Wrap for 10/02/2017

This is a summary of links featured on Quantocracy on Monday, 10/02/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Factor Olympics: Q3 2017 [Factor Research]

    2017 is on track for a good year for factor exposure as most factors are positive Quality, Growth, and Momentum are headed for the winners podium Value is negative across regions, giving up all of last years gains INTRODUCTION We present the performance of six well-known factors on an annual basis for the last 10 years and the first three quarters of 2017. Its worth mentioning that not all
  • TAA vs buy and hold in overvalued markets (CAPE > 30 edition) [Investing For A Living]

    Personal note: Sorry for the long delay from posting. I had a death in the family this summer, a big overseas family wedding, and Ive been working on getting my newsletter released, which Ill announce in a later post. Now, Im back. I was thinking this morning that with the increasing talk of market valuation, bubbles, etc. it would be a good time to revisit my post on TAA vs buy and hold
  • Analyzing the FDIC Dataset [Jonathan Kinlay]

  • The Frustrating Law of Active Management [Flirting with Models]

    In an ideal world, all investors would outperform their benchmarks. In reality, outperformance is a zero-sum game: for one investor to outperform, another must underperform. If achieving outperformance with a certain strategy is perceived as being easy, enough investors will pursue that strategy such that its edge is driven towards zero. Rather, for a strategy to outperform in the long run,
  • When Months Finish At A High [Quantifiable Edges]

    urn of the month will often trigger some seasonal studies. The study below looks at performance after times that SPY has closed a month at the highest closing price of the month. 2017-10-02 image1 The numbers across the board are fairly compelling. Trades may want to keep this in mind as we enter October.
  • Academic Research Insight: Volatility Wisdom of Social Media Crowds [Alpha Architect]

    Title: VOLATILITY WISDOM OF SOCIAL MEDIA CROWDS Authors: Ahmet K. Karagozoglu and Frank J. Fabozzi Publication: Journal of Portfolio Management, Winter 2017 (version here) What are the research questions? Using raw tweets from Twitter and StockTwits (Trader Mood Data from PsychSignal) a minute-by-minute social media sentiment signal is constructed for numerous financial instruments and used