This is a summary of links featured on Quantocracy on Tuesday, 02/21/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Crisis Alpha: A Simple ETF Approach [Flirting with Models]Trend-following strategies such as managed futures and tactical equity have historically provided crisis alpha against sustained drawdowns. For short-horizon events (e.g. single day, week, or month events), the effectiveness of these approaches in managing risk is largely based on the luck of prior positioning. For more constant protection, option-based strategies can be applied by
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Market Regime Detection using Hidden Markov Models in QSTrader [Quant Start]In the previous article on Hidden Markov Models it was shown how their application to index returns data could be used as a mechanism for discovering latent "market regimes". The returns of the S&P500 were analysed using the R statistical programming environment. It was seen that periods of differing volatility were detected, using both two-state and three-state models. In this
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Modeling Risk With Bootstrapping Techniques In R [Capital Spectator]Limited data is the financial modelers biggest challenge. Making assumptions about risk is tough enough under the best of circumstances. All too often its even tougher when the historical record is thin. There are several ways to manage this challenge, including bootstrapping, aka resampling the available data to create historical records that might have occurred. Nothings perfect, of
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New Feature: Historical Allocation Analysis [Allocate Smartly]Weve added a major new feature to our members area: historical allocation analysis. Every strategy that we track now includes a brand new subpage, which is updated daily and devoted to helping members better understand how each asset class has contributed to the strategys performance. In this blog post, we discuss this new feature. Note that all of the charts in this post require JavaScript,
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Spx 1% low volatility range streaks [Voodoo Markets]Spx is on a low volatility streak, taking a look at how long the streaks usually last and how the current streak relates to past instances. Also looking at Spx returns once the spell breaks as do probably most others, i expected volatility to pick up, that does not seem to be the case. Bill Luby of Vix And More had a recent post supporting the case for low volatility feeding low volatility on