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Quantocracy’s Daily Wrap for 09/16/2016

This is a summary of links featured on Quantocracy on Friday, 09/16/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Factor Investing: Buyer Beware [Dual Momentum]

    A highlight of the 2016 Morningstar ETF Conference was the keynote address by the former leader of U.S. Navy Seal Team Six, Rob ONeill. Chief ONeill shared some stories about his training and operations as an elite Navy Seal. The take away lessons from his talk were the importance of preparation, discipline, and keeping the mission goal in mind. Overriding all this is the importance of
  • Average TAA Allocation by Month [Allocate Smartly]

    We delayed adding the latest strategy to our site (GestaltUs Adaptive Asset Allocation) for a week due to technical hurdles running the minimum variance component of the strategy in near real-time for members. Historical results on GestaltUs strategy are exceptional though, and we plan to have the kinks with real-time worked out shortly. In the meantime, I thought the following chart
  • Was the Financial Crisis Really a Valuation Crisis? [Alpha Architect]

    Most people look back at the dot-com bubble and acknowledge valuations were elevated far above historical norms. Investors ignored historically useful fundamentals, such as earnings and book value, and started relying on measures like eyeballs and clicks. Investors really started to believe, This time its different, the four most dangerous words in investing according to Sir John
  • A Persistent Kind Of Momentum [Larry Swedroe]

    Time-series momentum examines the trend of an asset with respect to its own past performance. This is very different than cross-sectional momentum (often referred to as Carhart momentum), which compares the performance of an asset with respect to the performance of another asset. Ian DSouza, Voraphat Srichanachaichok, George Jiaguo Wang and Chelsea Yaqiong Yao, who authored the 2016 study
  • Loading and Manipulating Historical Data From .csv Files [Dekalog Blog]

    In my last post I said I was going to look at data wrangling my data, and this post outlines what I have done since then. My problem was that I have numerous csv files containing historical data with different date formats and frequency, e.g. tick level and hourly and daily OHLC, and in the past I have always struggled with this. However, I have finally found a solution using the R quantmod

Quantocracy’s Daily Wrap for 09/15/2016

This is a summary of links featured on Quantocracy on Thursday, 09/15/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Podcast: This quants approach to designing algo strategies – Michael Halls-Moore [Chat With Traders]

    For this episode Im joined by Michael Halls-Moore, who runs QuantStart.coma site well-known by many algorithmic traders. Prior to trading, Michael studied computational fluid dynamics and was the co-founder of a tech startup, before getting involved a small equity fund as a quant developerwhere his key role was cleansing data. Now, independently, Michael trades his own short-term
  • Algorithmic Trading Strategies: Paradigms and Modelling Ideas [Quant Insti]

    Looks can be deceiving, a wise person once said. The phrase holds true for Algorithmic Trading Strategies. The term Algorithmic trading strategies might sound very fancy or too complicated. However, the concept is very simple to understand, once the basics are clear. In this article, I will be telling you about algorithmic trading strategies with some interesting examples. If you look at it
  • Value investing is quite possibly the worst idea…EVER [Alpha Architect]

    We believe deeply in the value philosophy as first described by Ben Graham: view stocks as ownership in a firm; buy with a margin of safety; avoid stories; think independently; and so forth. In fact, I was so intellectually stimulated by value investing I wrote my dissertation on the subject, co-authored an entire book on value investing, and weve written numerous blog posts highlighting why

Quantocracy’s Daily Wrap for 09/12/2016

This is a summary of links featured on Quantocracy on Monday, 09/12/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hidden Markov Models – An Introduction [Quant Start]

    A consistent challenge for quantitative traders is the frequent behaviour modification of financial markets, often abruptly, due to changing periods of government policy, regulatory environment and other macroeconomic effects. Such periods are known colloquially as "market regimes" and detecting such changes is a common, albeit difficult process undertaken by quantitative market
  • Trend Following after Drawdowns [Wisdom Trading]

    Historical Performance of Trend Following Post-Drawdown August marked a local low for our Trend Following index, reaching about two thirds of the max historical drawdown. We were commenting on the fact that, historically, drawdowns have typically proved a good time to invest or start trading a trend following strategy. This prompted us to run a test to check the historical results on the index. We
  • What The VIX Spike Is Suggesting For The Next Few Days [Quantifiable Edges]

    Fridays big drop was accompanied by a big spike in options prices as measured by the VIX. The VIX rose so sharply that it closed Friday 32% above its 10-day moving average. The study below examines stretches of 25% or more, and how the SPX has performed in the following days.
  • The Coppock Curve Applied to Global Markets [Meb Faber]

    I get most of my quant research done while trying to avoid other less interesting work. So I was curious when I saw my friend John Hussman writing about an obscure technical indicator called the Coppock Curve. I filed it away as interesting, sent it to the Idea Farm list, then moved on. But they Barry was asking me about it so that got me curious again, and I wanted to see what it might be
  • Ask Me Anything Video [Alvarez Quant Trading]

    In this short five minute video I will answer the following questions: I am interested in knowing a little bit more about your own trading. What types of strategies are you trading? Why do you not manage outside money? What are the trading books you recommend? Do you have a trading or AmiBroker or other question you want me to answer? If so, either add it to the comments below or fill in the form.
  • Applications of Graph Theory In Finance [Jonathan Kinlay]

    Very large datasets comprising voluminous numbers of symbols present challenges for the analyst, not least of which is the difficulty of visualizing relationships between the individual component assets. Absent the visual clues that are often highlighted by graphical images, it is easy for the analyst to overlook important changes in relationships. One means of tackling the problem is with

Quantocracy’s Daily Wrap for 09/07/2016

This is a summary of links featured on Quantocracy on Wednesday, 09/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Is momentum investing dead? Or is it just painful? [Alpha Architect]

    Sometimes even the best evidence-based active investment strategies can create a formidable challenge to investors seeking to exploit them. Case in point momentum investing. On the one hand, stock-selection momentum strategies (here is a link to more information) can have the potential to generate excess expected returns over the long run; on the other hand, these strategies sometimes generate
  • Strategy Up/Down Capture [Alvarez Quant Trading]

    A reader sent this interesting link about Up/Down Capture. The great part about this article it is something I have intuitively known about my trading strategies but never tried to quantify. This was the bump I needed to investigate this concept. When the SPY moves up on average how much does my strategy profit? When the SPY moves down how much does my strategy lose? I had fun creating an

Quantocracy’s Daily Wrap for 09/06/2016

This is a summary of links featured on Quantocracy on Tuesday, 09/06/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How a Low VIX Can Remain an Expensive Hedge [EconomPic]

    One of my favorite Twitter follows @LadyFOHF shared the below scatter chart from Morgan Stanley that attempted to map areas of the global market that were both cheap (valuation ranks at the lower end of its 10-year history) and defensive (a low or negative correlation to global equities). One of the few trades listed as having both characteristics was the VIX Index. Let's take a look. The VIX
  • J.P. Morgan Outlook Implies Satellite Bonds Are King [Flirting with Models]

    It is common for large asset management firms to publish their capital market assumptions: long-term global asset expected return and covariance assumptions. Yet many firms do not draw the link between what published capital market assumptions say and what they mean when carried through the portfolio construction process. We find several interesting results when applying simple portfolio

Quantocracy’s Daily Wrap for 09/05/2016

This is a summary of links featured on Quantocracy on Monday, 09/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Systematic risk management [Investment Idiocy]

    As the casual reader of this blog (or my book) will be aware, I like to delegate my trading to systems, since humans aren't very good at it (well, I'm not). This is quite a popular thing to do; many systematic investment funds are out there competing for your money; from simple passive tracking funds like ETF's to complex quantitative hedge funds. Yet most of these employ people to
  • How to Learn Advanced Mathematics Without Heading to University – Part 3 [Quant Start]

    In the first and second articles in the series we looked at the courses that are taken in the first half of a four-year undergraduate mathematics degree – and how to learn these modules on your own. In the first year we discussed the basics – Linear Algebra, Ordinary Differential Equations, Real Analysis and Probability. In the second year we built on those basics, studying Metric Spaces, the
  • Effect of Maturity Structure of Roll Yields in Commodity Futures Strategies [Quantpedia]

    We investigate the maturity-structure of roll strategy returns in the energy futures markets. Our innovation is to report and analyze the risk/return profile, the Sharpe ratio, and the asset pricing loadings of rollover strategies based on futures contracts of the same underlying commodity but with maturities between two and 12 months. We find that a conditional rollover strategy, which takes a
  • Trading on Sentiment with Richard Peterson [Better System Trader]

    Trading algorithmically based on sentiment data is a relatively new field compared to more established approaches. With the explosion of social media and computing power, the analysis of sentiment data has also increased, with some hedge funds committing considerable resources to researching the applications of sentiment data in trading. However, there is also some skepticism of the value of