Quantocracy’s Daily Wrap for 02/22/2016

Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and

Do Volatility Futures Provide Useful Information for Future S&P500 Performance? Volatility or VIX Futures are based on the S&P500 index and are calculated from the implied volatility of different option strike prices across different expiration periods. In contrast to the VIX index, VIX Futures represent forward expectations for volatility as well as the demand for insurance against tail

Investors often focus their analysis on benefits. In the finance industry, weve distilled this down to a single metric: alpha. Benefits and risk require separate analysis. Increasing benefits does not necessarily reduce risk or even leave it unchanged. In practice, increasing alpha can actually increase risk in many portfolios. We would like to tip our hats to N.N. Taleb, whose recent writings

In the previous article in the Advanced Trading Infrastructure series I discussed and presented both the code and initial unit tests for the Position class that stores positional information about a trade. In this article we will consider the Portfolio class, used to store a list of Position classes, as well as a cash balance. In the last month I've made a lot of progress on QSTrader, the

Risk is not a simple entity, it comes in many flavours, and requires respect and consideration even when you least expect. If one was to try totally avoid risk in their market endeavours they would most likely just be holding cash where are the returns in that? The truth is that in almost all circumstances one must take at least some form of risk to have the chance of potentially