Quantocracy’s Daily Wrap for 02/05/2018

Welcome! If you enjoy these posts, please follow this blog via email and check out my Twitter feed located on the sidebar. All of my previous analysis has focused on US equities, but today we begin the journey into another asset class, futures. Futures are traded via contracts where two parties agree to exchange a quantity of an asset for a price decided today and delivered at a specified date in

We believe that capital efficiency should remain a paramount objective for investors. The prudent use of leverage can help investors employ more risk efficient portfolios without necessarily sacrificing potential returns. Many investors, however, do not have access to leverage (be it via borrowing or derivatives). They may, however, have access to leverage via the variety of ETFs and ETNs

How bad was last weeks rout in US equities? The slide is the biggest weekly drop for the S&P 500 Index in over two years. But thats not saying much, given how calm the upside bias for the equity trend has been lately. Perhaps the bigger surprise is that weve gone so long without a meaningful setback. But dont be too quick to dismiss the latest fall from grace as insignificant. A

A couple of weeks ago I did a little study that looked at performance following the induction of a new Fed Chairman. With Jerome Powell starting his new job on Monday, I decided to expand on that study below. 2018-02-04 Obviously it appears to be a bit of a mixed bag. The most positive results came in the 1st 3 weeks (15 trading days). Perhaps the market view the new chairman with enthusiasm. The

Investors can directly access factor returns via ETFs in the US & futures in Europe However, neither of these come without some investor concerns Realised returns differ substantially from theoretical returns INTRODUCTION Despite factor investing having gained immense popularity in recent years, it has been relatively difficult for most investors to directly access long-short factor returns as