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Quantocracy’s Daily Wrap for 05/28/2017

This is a summary of links featured on Quantocracy on Sunday, 05/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Evaluating Trading Strategies with Random Portfolios [Geodesic Edge]

    Active asset management has been under attack during the past several months. Hedge funds have been shutting down left and right, labeled as overpriced and underperforming, and are losing capital to low cost passive mutual funds and ETFs. Active mutual funds have been losing ground as well to their passive counterparts. Warren Buffet has even gone so far as to refer to hedge fund managers who have

Quantocracy’s Daily Wrap for 05/26/2017

This is a summary of links featured on Quantocracy on Friday, 05/26/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • March for the Fallen: Get Fit with Alpha Architect [Alpha Architect]

    As a former US Marine, Memorial Day is every day, however, Memorial Day is special because the time is set aside to reflect on those who paid the ultimate sacrifice. Enjoy and stay safe out there! In addition to enjoying the long Memorial Day weekend, we offer a unique opportunity to honor the fallen and hang with good people trying to do good things for society. One such event is March for the
  • Testing the Hierarchical Risk Parity algorithm [QuantStrat TradeR]

    This post will be a modified backtest of the Adaptive Asset Allocation backtest from AllocateSmartly, using the Hierarchical Risk Parity algorithm from last post, because Adam Butler was eager to see my results. On a whole, as Adam Butler had told me he had seen, HRP does not generate outperformance when applied to a small, carefully-constructed, diversified-by-selection universe of asset classes,
  • Research Review | 26 May 2017 | Smart Beta [Capital Spectator]

    How much higher can smart beta adoption climb? Now in its fourth year, FTSE Russells latest annual survey of global institutional asset owners indicates that smart beta adoption is at an all time high and that investors continue to find new applications for its use. The survey, Smart beta: 2017 global survey findings from asset owners, reveals that the percentage of asset owners reporting an
  • An Analysis of Momentum Behaviour in the Long-Term [Quantpedia]

    Motivated by behavioral theories, we test whether recent past performance of the momentum strategy (Past Momentum Performance–PMP) negatively predicts the performance of stale momentum portfolios. Following periods of top-quintile PMP, momentum portfolios exhibit strong reversals 2-5 years after formation, whereas, following periods of bottom-quintile PMP, stale momentum portfolios earn positive

Quantocracy’s Daily Wrap for 05/25/2017

This is a summary of links featured on Quantocracy on Thursday, 05/25/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Vix Spx Seasonality By Month, Even Keel [Voodoo Markets]

    While seeing some sell in may headlines a while ago, thought id pull up the monthly mean returns for spx and vix. I wanted to see them on an even keel, so that each month starts at 0%, to better gauge their monthly behaviour 1 2 3 4 5 6 7 8 9 import pandas as pd import numpy as np import matplotlib.pyplot as plt import seaborn as sns import quandl import calendar %matplotlib inline
  • Yes. Demographics and Economic Growth Matter for Equity Returns [EconomPic]

    Quick note… for those not already listening, my buddy Patrick OShaughnessy has one of the (if not the) best investing podcasts out there with his podcast Invest Like the Best. Each week he sits down with some of the best capital allocators, investment thinkers, etc… in the world and really allows his guests to share deep insights. I highly recommend it to anyone reading this who isn't

Quantocracy’s Daily Wrap for 05/24/2017

This is a summary of links featured on Quantocracy on Wednesday, 05/24/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How Many Assets Are Needed To Test a K-Factor Model? [Alex Chinco]

    Imagine youre a financial economist who thinks that some risk factor,{\color{white}i}f_t, explains the cross-section of expected returns. And, you decide to test your hunch. First, you regress the realized returns of N different assets on{\color{white}i}f_t to estimate each assets exposure to the risk factor, \tilde{b}_n: \begin{equation*} r_{n,t} = \tilde{a}_n + \tilde{b}_n \cdot f_t +
  • The Value Premium: Risk or Mispricing? [Alpha Architect]

    One of the great debates in finance is whether the source of the value premium is risk-based or a behavioral anomaly. In our book, Your Complete Guide to Factor-Based Investing, my co-author Andrew Berkin and I present the evidence showing that there are good arguments on both sides. Thus, its likely the answer isnt black or white. For example, we show that the academic research

Quantocracy’s Daily Wrap for 05/23/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/23/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Case for Tactical Alpha, Part 3: The Greatest Trick Wall Street Ever Pulled [Invest Resolve]

    The investment industry has investors convinced that the only path to better performance is through stock selection. As a result, most investors approach the challenges of portfolio construction exactly backward and miss out on the most important opportunities to produce differentiated performance. The purpose of this series is to challenge the conventions that lead to misguided asset allocation
  • Academic Research Insight: The Social Media Factor [Alpha Architect]

    are to Editors Note: The Academic Research Insight will be a weekly short-form research summary on research that is directly related to investing. Elisabetta Basilico (a PhD and a CFA!) will be driving the effort, which will supplement our long-form summaries, in-house research, and general research commentary. We look forward to empowering investors through education! Title: THE SIXTH
  • An Example of Python Trading Strategy in Quantiacs Platform [Quant Insti]

    Algorithmic trading has seen great traction in recent years and the numbers of students, engineering graduates, and finance professionals looking to explore this lucrative domain has been growing exponentially with each passing year. Are you among the ones looking to learn quant skills and also make money with your trading ideas? Let us explore the Quantiacs platform which allows one to create,

Quantocracy’s Daily Wrap for 05/22/2017

This is a summary of links featured on Quantocracy on Monday, 05/22/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Rough Path Theory and Signatures Applied To Quantitative Finance – Part 2 [Quant Start]

    his is the second in a new advanced series of posts written by Imanol Prez, a PhD researcher in Mathematics at Oxford University, and a new expert guest contributor to QuantStart. In this post Imanol continues the theoretical discussion of Rough Paths and Signatures and begins applying them within a machine learning framework, utilising scikit-learn. – Mike. In the last article the signature of
  • The time has come: setting up a DB with MySQL and R [Quant Bear]

    The recent decision by Yahoo to screw with their API for financial data (and in the process disabling all packages/functions in various programing languages obtaining EOD (end-of-day) data, at least temporarily) shows us two important things: Nothing is free and reliable forever Its a good idea to have a database set up So for everyone in the why do i need a DB/I dont know how to set it
  • The Marcos Lopez de Prado Hierarchical Risk Parity Algorithm [QuantStrat TradeR]

    This post will be about replicating the Marcos Lopez de Prado algorithm from his paper building diversified portfolios that outperform out of sample. This algorithm is one that attempts to make a tradeoff between the classic mean-variance optimization algorithm that takes into account a covariance structure, but is unstable, and an inverse volatility algorithm that ignores covariance, but is more
  • Can We Improve Sector Rotation? [Flirting with Models]

    Momentum-based sector rotation is a popular investment strategy. Recent academic studies have shown that alternative implementations of standard momentum including risk-adjusted momentum, residual momentum, and frog-in-the-pan momentum can significantly improve the risk-adjusted and total return potential of stock-based momentum systems. We explore whether these approaches create

Quantocracy’s Daily Wrap for 05/20/2017

This is a summary of links featured on Quantocracy on Saturday, 05/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Scrape and Parse 600 ETF Options in 10 mins with Python and Asyncio [Black Arbs]

    This is Part 1 of a new series I'm doing in semi real-time to build a functional options data dashboard using Python. There are many underlying motivations to attempt this, and several challenges to implementing a tool like this from scratch. Where to get the data? Is it affordable? Easily accessible? API? How to parse the results? How to aggregate and organize the data for analysis? How to
  • Solved: Errors Downloading Stock Price Data from Yahoo Finance [Robot Wealth]

    Recently, Yahoo Finance a popular source of free end-of-day price data made some changes to their server which wreaked a little havoc on anyone relying on it for their algos or simulations. Specifically, Yahoo Finance switched from HTTP to HTTPS and changed the data download URLs. No doubt this is a huge source of frustration, as many backtesting and trading scripts that relied on such
  • Yahoo is dead, long live Yahoo! [Trading with Python]

    On 18 May 2017 the ichart data api of yahoo finance went down, without any notice. And it does not seem like it is coming back. This has left many (including me) with broken code and without a descent free end-of-day data source. Something needs to be done. Now. Apparently Yahoo! does not want us to download free data automatically, but it is still possible to download it by hand, clicking the
  • An Example of Trading Model Design by Richard Olsen (Founder of @OANDA) [Quantpedia]

    We introduce a new approach to algorithmic investment management that yields profitable automated trading strategies. This trading model design is the result of a path of investigation that was chosen nearly three decades ago. Back then, a paradigm change was proposed for the way time is defined in financial markets, based on intrinsic events. This definition lead to the uncovering of a large set

Quantocracy’s Daily Wrap for 05/19/2017

This is a summary of links featured on Quantocracy on Friday, 05/19/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Bye Yahoo, and thanks for all the fish [Financial Hacker]

    Just a quick post in the light of a very recent event. Users of financial functions of R, MatLab, Python, or Zorro got a bad surprise in the last days. Many scripts and programs based on historical price data suddenly dont work anymore. And our favorite free historical price data provider, Yahoo, now responds on any access to their API in this way: No, they wont be right back. Their

Quantocracy’s Daily Wrap for 05/18/2017

This is a summary of links featured on Quantocracy on Thursday, 05/18/2017. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Setting up an Algorithmic Trading Business [Quant Start]

    This is the second in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank takes a look at the different ways in which an algorithmic trading business can be establishedand why you might want to consider it. – Mike. Setting up an algorithmic trading business can provide the requisite credibility and legal structure to manage
  • Constant Expiry VIX Futures (Using Public Data) [QuantStrat TradeR]

    This post will be about creating constant expiry (E.G. a rolling 30-day contract) using VIX settlement data from the CBOE and the spot VIX calculation (from Yahoo finance, or wherever else). Although these may be able to be traded under certain circumstances, this is not always the case (where the desired expiry is shorter than the front months time to expiry). The last time I visited this
  • A Direct Test of the Dividend Catering Hypothesis [Alpha Architect]

    Why do CEOs decide to pay dividends? That is an interesting question, and one that academics have been researching for years. Miller and Modigiliani in 1961 show that if one assumes perfect and efficient capital markets, and investors should have no preference as to whether or not a firm pays dividends.(1)(2) However, (some) people care about dividends! But are dividend paying stocks better
  • Testing Dual Momentum with @AllocateSmartly [Scott’s Investments]

    I am frequently asked about performance and backtest results for my Dual Momentum portfolio, which is inspired by Gary Antonnaci at Optimal Momentum. I recently began using AllocateSmartly to test some of my favorite tactical strategies, including Dual Momentum. AllocateSmartly tracks some of the most popular tactical asset allocation strategies, with thorough, up-to-date backtests, and users can

Quantocracy’s Daily Wrap for 05/16/2017

This is a summary of links featured on Quantocracy on Tuesday, 05/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!