Quantocracy

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Quantocracy’s Daily Wrap for 05/05/2017

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

  • Research Review | 5 May 2017 | Forecasting [Capital Spectator]

    Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability Alexey Ivashchenko (University of Lausanne) May 4, 2017 The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this finding. Once I project spreads on these two risk factors, which
  • Sell in May Over the Long Run [CXO Advisory]

    Does the conventional wisdom to Sell in May (and Buy in November, hence also the term Halloween Effect) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check, we turn to the long run dataset of Robert Shiller. This data set includes monthly levels of the S&P Composite Index, calculated as average of daily
  • Wisdom State of Trend Following in April [Wisdom Trading]

    April 2017 Trend Following: DOWN -1.35% / YTD: -11.65% April was another down month for the Wisdom State of Trend Following, with the index already in double-digit territory, on the negative side, for the year. Below is the full State of Trend Following report as of last month. Performance is hypothetical. Chart for April: And the 12-month chart: Below are the summary stats: Horizon Return Ann.

Quantocracy’s Daily Wrap for 05/03/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Play US Treasury ETFs in an Era of Rising Rates [Allocate Smartly]

    In our previous post we demonstrated an approach to modeling US Treasury ETF performance in an era of rising interest rates. We showed results like the ones below, simulating the performance of various constant maturity ETFs from the interest rate peak in 1981 to the present (left half of the graph), and in a hypothetical world where rates marched upwards in the exact reverse order (right half of
  • Why Tuesday s 20-day High Mutes Today s Fed Day Potential [Quantifiable Edges]

    Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed
  • Factor Investing in Multi-Asset Portfolios [Flirting with Models]

    Factor investing (value, momentum, low volatility, carry, trend, etc.) is well-known in equities but less discussed in other asset classes. However, many of these factors are just as prevalent in other asset classes, such as bonds, commodities, and currencies. In this case study, we explore the risk-adjusted carry and trend factors that we seek to incorporate in our own Multi-Asset Income
  • Machine Trading from @ChanEP – Book Review [Eran Raviv]

    In trading and in trading-related research one could be quickly overwhelmed with the sea of ink devoted to trading strategies and the like. It is essential that you pick your battles so to speak. I recently finished reading Machine Trading, by Ernest Chan. Here is what I think about the book. The book is extremely friendly. Writing is lucid and down to earth, which makes it an easy read. The

Quantocracy’s Daily Wrap for 05/01/2017

This is a summary of links featured on Quantocracy on Monday, 05/01/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using a Market Timing Rule to Size an Option Position [Relative Value Arbitrage]

    Position sizing and portfolio allocation have not received much attention in the options trading community. In this post we are going to apply a simple position sizing rule and see how it performs within the context of volatility trading. An option position can be sized by using, for example, a Markov Model where the size of the position can be a function of the regime transition probability [1].

Quantocracy’s Daily Wrap for 04/29/2017

This is a summary of links featured on Quantocracy on Saturday, 04/29/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation in April [Allocate Smartly]

    This is a summary of the recent performance of a wide range of excellent tactical asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. While we don't (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Read more about our backtests or let AllocateSmartly help you follow these

Quantocracy’s Daily Wrap for 04/28/2017

This is a summary of links featured on Quantocracy on Friday, 04/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Dual Momentum: A Review [Robot Wealth]

    I recently read Gary Antonaccis book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the premier anomaly (Fama and French, 2008), but because it is ultimately about approaching the
  • Is VIX Index Manipulated? [Quantpedia]

    At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in the out-of-the-money options that are used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX. We investigate alternative explanations of coordinated liquidity trading and hedging. Tests including those utilizing differences in put and call
  • The Capacity of Smart Beta Funds – Larger than Previously Thought? [Alpha Architect]

    ETFs and factor investing are on the tip of everyones tongue these days. Factor investing is being couched as a new thing, despite the fact that institutional investors have been deploying these strategies for years. (See this working paper discussing the effective use of smart beta strategies by institutional investors.) However, because factor investing is now directly accessible via
  • Podcast: How to find trading ideas every single day with Rob Hanna (@QuantEdges) [Better System Trader]

    I recently received an email asking me where all the trading ideas are. I think every episode provides at least 1 idea of value, but one that stands out in my mind was the chat with Rob Hanna in episode 7. In that episode he share loads of trading ideas. But he also goes one step further and explains the technique he uses to find new trading ideas Every. Single. Day.

Quantocracy’s Daily Wrap for 04/27/2017

This is a summary of links featured on Quantocracy on Thursday, 04/27/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation and the US 60/40 Benchmark [Alpha Architect]

    Our firm Allocate Smartly provides independent analysis of Tactical Asset Allocation (TAA) strategies. TAA strategies dynamically allocate to broad asset classes like stock indices, bond indices or gold. Unlike a traditional buy & hold portfolio, TAA is able to increase allocation to assets expected to outperform and reduce allocation to those expected to underperform, to enhance returns.
  • Creating a VIX Futures Term Structure In R From Official CBOE Settlement Data [QuantStrat TradeR]

    This post will be detailing a process to create a VIX term structure from freely available CBOE VIX settlement data and a calendar of freely obtainable VIX expiry dates. This has applications for volatility trading strategies. So this post, as has been the usual for quite some time, will not be about a strategy, but rather, a tool that can be used for exploring future strategies. Particularly,

Quantocracy’s Daily Wrap for 04/26/2017

This is a summary of links featured on Quantocracy on Wednesday, 04/26/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Academic Factor Exposure Versus Fund Factor Exposure [Alpha Architect]

    Tomorrow Ill be sitting with Pat OShaughnessy and Ben Johnson to discuss Straight Talk About Smart Beta. Here is a link to the big Morningstar event. In preparation for our discussion we were spitballing ideas and Ben brought up the concept of helping investors understand the similarity/differences between live factor funds and the academic factor portfolios often used for
  • The best investment strategy in Europe from 2000 to 2014 data driven [Quant Investing]

    What investment strategy would have given you the highest returns in Europe over the 13 year period from July 2000 to July 2014? In this article I summarised the masters thesis of Andreas Hennes (completed at Goethe University Frankfurt am Main on 14 September 2015) where he set out to test exactly that. Results and findings Before I get to all the details here are the summarised results:
  • Vix Blues, Large Close to Close Declines in Vix [Voodoo Markets]

    This monday, we were witnesses to a rather large decline in Vix. Taking a quick look at how often drops like this happen and how has Vix behaved after large single day drops 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 import pandas as pd import numpy as np import matplotlib.pyplot as plt import matplotlib.dates as mdates import scipy as sp import seaborn as sns import quandl
  • The Dividend Growth Myth [Meb Faber]

    A few weeks ago, I was sipping coffee, thumbing through Barrons as I do every weekend. Its a way in which I keep a pulse on whats going on in our space. Though I never consciously pay attention to ads, on that particular morning, one caught my eye a big full pager from Schwab, below. They were trumpeting their low-cost trading commissions in the ongoing fee compression in the

Quantocracy’s Daily Wrap for 04/25/2017

This is a summary of links featured on Quantocracy on Tuesday, 04/25/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Great Academic Finance Research Papers at WFA 2017 [Alpha Architect]

    There are several big academic finance conferences that attract the best research and the best researchers in one bullpen the AFA and the WFA meetings. We chatted about the AFA event last January (be sure to check that out). But now it is the WFAs turn. I attended the WFA a few years back in Lake Tahoe (along with my friend Gary Antonacci). We had a blast hobnobbing with the big academic

Quantocracy’s Daily Wrap for 04/24/2017

This is a summary of links featured on Quantocracy on Monday, 04/24/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Why quants don’t pick stocks [Flirting with Models]

    Quant is a broad word with many job descriptions in finance. In asset management, a quant is someone who applies mathematical (usually statistical) techniques to analyzing the securities market, usually with an eye towards identifying investment opportunities. Quants rely on factors: systematic investment approaches that capture and explain the return difference between different cohorts of

Quantocracy’s Daily Wrap for 04/23/2017

This is a summary of links featured on Quantocracy on Sunday, 04/23/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Constrained by capital or why rounding down is bad for you [Quant Bear]

    Imagine this, you have backtested a strategy adhering to all the general rules: you did proper in/out of sample testing, you have stable parameters (if the strategy has any), you didnt overfit, you account for transaction costs and slippage, everything seems good and you are ready to deploy your strategy and earn you some money. But did you check for capital constraints in your backtest?