Quantocracy

Quant Blog Mashup

ST

Quantocracy’s Daily Wrap for 05/20/2021

This is a summary of links featured on Quantocracy on Thursday, 05/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Are Ben Graham s Disciples Value and Quality Factor Investors? [Alpha Architect]

    I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and Stan Perlmeter. The research question I seek to address is the following: Do the academic "value" and "quality" factors explain the performance of these legendary investors? Surprisingly, the evidence

Quantocracy’s Daily Wrap for 05/18/2021

This is a summary of links featured on Quantocracy on Tuesday, 05/18/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • More Robust Strategies [Financial Hacker]

    The previous article dealt with John Ehlers AM and FM demodulating technology for separating signal and noise in price curves. In the S&C June issue he described a practical example. Applying his FM demodulator makes a strategy noticeably more robust at least with parameter optimization. The simple example strategy is basically a short-term trend follower. The price curve is
  • ESG Performance Breakdown by E, S, and G [Alpha Architect]

    The relationship among ESG ratings from third-party providers has historically produced conflicting results. Differences in sourced information and weighting schemes have produced low correlations between ratings and as a result, have handicapped the efforts to understand the relationship between ESG ratings and performance. Consequently, the credibility and willingness to use and invest utilizing

Quantocracy’s Daily Wrap for 05/17/2021

This is a summary of links featured on Quantocracy on Monday, 05/17/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Idea Streams #3 Seeking Diversification Amidst Global Market Correlations [Quant Connect]

    The CSI 300 is a capitalization-weighted stock market index that tracks the top 300 stocks listed on the two main stock exchanges in mainland China. In April 2020, South China Morning Post reported that the 120-day correlation between the CSI 300 Index and the S&P 500 index recently rose to its highest level since Bloomberg began compiling the data in 2002. The rise in correlation can be
  • Max Sortino Added to the Portfolio Optimizer (And Whether That Matters) [Allocate Smartly]

    We track more than 60 Tactical Asset Allocation strategies, which members can combine together into custom portfolios. To make creating those portfolios easier, we provide an optimizer showing the best performing combinations of strategies based on the members investment objective, such as maximizing the Sharpe Ratio (risk-adjusted return) or minimizing volatility. By popular demand, weve
  • $SPX Loves Tax Day [Quantifiable Edges]

    In the 4/12/19 blog I showed a study about US tax day (normally April 15th). The reason tax day may be important is that it is the last day that people can make IRA contributions to count for the previous tax year. This can create a last-minute rush and you will often have an inflow of funds heading into the market right around and on the day taxes are due. Fund managers will often put this money
  • Managed Futures: Fast & Furious vs Slow & Steady [Factor Research]

    Managed futures strategies aim to exploit short- or long-term trends Short-term trend followers are often seen as offering better stock market crash protection characteristics Our analysis highlights that the differences are marginal INTRODUCTION Aesops famous story of the race between the tortoise and the hare was put up to a test in 2016 when researchers made them compete with each other in
  • Research Review | 14 May 2021 | Stock Returns [Capital Spectator]

    Long-Horizon Stock Returns Are Positively Skewed Adam Farago and Erik Hjalmarsson (University of Gothenburg) April 28, 2021 At long horizons, multiplicative compounding induces strong-to-extreme positive skewness into stock returns; the magnitude of the effect is primarily determined by single-period volatility. Consequently, at horizons greater than five years, returns individual or
  • The macro forces behind equity-bond price correlation [SR SV]

    Since the late 1990s, the negative price correlation of equity and high-grade bonds has reduced the volatility of balanced portfolios and boosted Sharpe ratios of leveraged long-long equity-bond strategies. However, this correlation is not structurally stable. Over the past 150 years, equity-bond correlation has changed repeatedly. A structural economic model helps to explain and predict

Quantocracy’s Daily Wrap for 05/13/2021

This is a summary of links featured on Quantocracy on Thursday, 05/13/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Learning Candlestick Patterns [Tr8dr]

    In the previous posts I described an Reinforcement Learning approach to Learning the Exit part 1, part 2. My initial conclusions there have been: reward smoothing (with the labeler) leads to more robust results than a reward on position exit without smoothing the learning process struggled and had more volatility from epoch to epoch obtained the best results with smoothed reward obtained
  • The Rust Programming Language [Mark Best]

    I love programming! There is something really satisfying about solving a complicated problem concisely. That said I see programming languages as a tool to solve a problem rather than purely coding for coding sake. I have used a lot of programming languages over the last 20 years namely Java, R, Matlab, Python, C++ and now Rust. It is pretty common to read articles about language wars and which one
  • Fixed income when you re between a rock and a hard place – Part 2 [Alpha Architect]

    In Part 1, we defined fixed income factors. But factors alone will not solve each investors problem. Below, we extend the discussion by walking through a case study that shows how an asset allocator might use factors to solve a common problem: how to invest in a low yield environment given the practical constraints faced by many investors. Or, how can factors help investors stuck between a rock

Quantocracy’s Daily Wrap for 05/12/2021

This is a summary of links featured on Quantocracy on Wednesday, 05/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Getting historical data from MetaTrader [Thiago Marzagao]

    Getting historical intraday financial data can be a pain, especially for non-US markets. If you have deep pockets you can simply buy the data you need, but for retail investors the cost is prohibitive. If you want historical transaction-level data for the Brazilian stock market, for instance, TickData will sell it to you for about US$ 65000. Hard pass. What to do? I recently learned about an app
  • Strategy Backtesting in Mathematica [Jonathan Kinlay]

    This is a snippet from a strategy backtesting system that I am currently building in Mathematica. One of the challenges when building systems in WL is to avoid looping wherever possible. This can usually be accomplished with some thought, and the efficiency gains can be significant. But it can be challenging to get ones head around the appropriate construct using functions like FoldList, etc,
  • Different ranking methods for a monthly S&P500 Stock Rotation Strategy [Alvarez Quant Trading]

    Recently for my own trading, I have been researching rotational strategies on both the weekly and monthly timeframes. The most common indicator that I use for ranking stocks is Rate of Change (ROC) of the closing price. I read about using Rate of Change on the EMA to rank stocks. I liked a small twist on the idea and wanted to know how it compared to what I am using. Then this led me down another
  • A Decade of Cryptocurrencies [Grzegorz Link]

    It has been almost 11 years since the first official Bitcoin trades in July of 2010. It's price has experienced quite a run. Although controversial, cryptocurrencies have firmly taken hold of the current investing landscape, won hearts and minds of groups of investors, suggesting they are here to stay for longer than many have anticipated. As more data becomes available, it is interesting to
  • Value Investing Still Beats Growth Investing, Historically [Alpha Architect]

    A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from Morningstar 1 As viewed from this tweet, and is born out in the data for the Russell indices, it appears that Value investing has no edge relative to growth investing over the past 40+ years! 2 So once again its
  • Estimating Fair Value For The 10-Year Treasury Yield [Capital Spectator]

    The world is awash in efforts to model a theoretical value for the stock market the CAPE ratio, for example. But while the equities hog much of the attention on this front, similar analytics for the worlds most important interest rate are no less valuable. How to begin? Not surprisingly, there are countless possibilities. Alas, time is short. Enter a model that generates a baseline estimate

Quantocracy’s Daily Wrap for 05/10/2021

This is a summary of links featured on Quantocracy on Monday, 05/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Copula for Statistical Arbitrage: C-Vine Copula Trading [Hudson and Thames]

    This is the sixth article of the copula-based statistical arbitrage series. You can read all the articles in chronological order below. In this series, we dedicate articles 1-3 to pairs-trading using bivariate copulas and 4-6 to multi-assets statistical arbitrage using vine copulas. Copula for Pairs Trading: A Detailed, But Practical Introduction. Copula for Pairs Trading: Sampling and Fitting to
  • Kalman Filter Techniques And Statistical Arbitrage In China’s Futures Market In Python [Quant Insti]

    Contrary to a more developed market, arbitrage opportunities are not readily realised which suggests there might be opportunities for those looking and able to take advantage of them. This project focuses on China's futures market using Statistical Arbitrage and Pair trading techniques. This article is the final project submitted by the author as a part of his coursework in Executive
  • Improving the Odds of Value Investing [Factor Research]

    The stock market volatility, skewness, and yield curve influence the performance of the value factor Investors require a certain market environment to buy troubled companies The key performance driver of the value factor is risk sentiment INTRODUCTION Ted Theodore first wrote about value versus momentum stocks way back in 1984, but almost 40 years later, there still is no real consensus among

Quantocracy’s Daily Wrap for 05/09/2021

This is a summary of links featured on Quantocracy on Sunday, 05/09/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 05/07/2021

This is a summary of links featured on Quantocracy on Friday, 05/07/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How I learned to stopped worrying and love the Bitcoin (future) [Investment Idiocy]

    For the last seven years since I started trading my own account I've pretty much kept the same set of futures markets: around 40 or so, with very occasional changes. The number is limited, as to trade more markets I'd need more capital. The set of markets I have is a compromise between getting a diversified portfolio, avoiding low volatility, not paying too much in trading costs, not
  • Accelerating Dual Momentum Redux: Longer History, Tempered Expectations [Allocate Smartly]

    This is a follow up to a strategy weve covered previously: Accelerating Dual Momentum (ADM) from EngineeredPortfolio.com. See our first test of ADM, which includes a description of the strategy rules and our own analysis of the strategy. Here weve extended our test by 20 years to include a less effective era for this strategy. Results from 1970 net of transaction costs follow. Read more
  • Risk Parity Asset Allocation [Quantpedia]

    This article is a primer into the methodology we use for the Portfolio Risk Parity report, which is a part of our Quantpedia Pro offering. We explain three risk parity methodologies Naive Risk Parity (inverse volatility weighted), Equal Risk Contribution and Maximum Diversification. Quantpedia Pro allows the design of model risk parity portfolios built not just from the passive market factors

Quantocracy’s Daily Wrap for 05/06/2021

This is a summary of links featured on Quantocracy on Thursday, 05/06/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • U.K. Value Factor – The 200+ Year View [Two Centuries Investments]

    One year ago, I wrote about the U.S. Value factor and what I found by extending its history back in time before 1926. In summary, I wrote that Values drawdown in March 2020 was normal and likely close to its bottom. Without the insights from the extended history, Value had appeared dead given it had crossed the previous all-time maximum drawdown. As far as factor timing goes, I was close
  • Text-Based Factor Investing [Alpha Architect]

    This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of Sparkline Capital. The Factor Zoo As readers of Alpha Architects blog, youre certainly familiar with factor investing. Factors are quantifiable firm characteristics that explain cross-sectional stock returns. While some factors merely explain risk (e.g., industry), others are also associated with positive

Quantocracy’s Daily Wrap for 05/05/2021

This is a summary of links featured on Quantocracy on Wednesday, 05/05/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Resurrecting the Value Premium [Alpha Architect]

    The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since 2017 has led many to question the existence of the value premium. The recent drawdown has been by far the largest ever experienced. From January 2017 through August 2020, the Fama-French small value research index produced a total return