Quantocracy’s Daily Wrap for 01/26/2017

Despite the many interesting features of options, private traders rarely take advantage of them (Im talking here of serious options, not binary options). Maybe options are unpopular due to their reputation of being complex. Or due to their lack of support by most trading software tools. Or due to the price tags of the few tools that support them, and the historical data that you need. Whatever

My recent research has been focused on finding strategies that are not highly correlated with the S&P500 index. One of my most popular posts is ETF Sector Rotation. The idea for this post is to apply those concepts to a list of country ETFs. Would this produce decent returns that were not highly correlated to the S&P500 index? I would like to see the correlation under .50. What about

Density estimation belongs with the literature of non-parametric statistics. Using simple bootstrapping techniques we can obtain confidence intervals (CI) for the whole density curve. Here is a quick and easy way to obtain CIs for different risk measures (VaR, expected shortfall) and using what follows, you can answer all kind of relevant questions. Density Confidence Interval To get to the

We seek to describe the broad cross-section of average stock returns. We follow the APT literature and estimate the common factor structure among a large cross-section containing 278 decile portfolios (associated with 28 market anomalies). Our statistical model contains seven common factors (with an economic meaning) and prices well both the original portfolio returns and an efficient combination