This is a summary of links featured on Quantocracy on Monday, 03/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replicating Private Equity: the Impact of Return Smoothing [Alpha Architect]Having spent what seems like a lifetime in the financial industry at this point, Ive always had this nagging suspicion about private equity (PE): private equity investments are not special. And Ill take my hunch a bit further: public equity markets can deliver the same return profile as private equity. After all, you hear so many compelling stories about PE. PE investors have an information
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Server -II- [Algorythmn Trader]In my previous post I announced that I want to try covering one feature in each post. During the days I doing this, I realized this would not work for me. I feel better in posting more frequent and discussing the code in smaller chunks. In this post I want to start creating the basic server application. Part 1: Service Host The first thing I had to deal with was the decision how to host the
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ETFs: Process Matters As Much As Fees [Flirting with Models]Fees are always a prominent topic in ETF selection, but they are not the only cost associated with the product. Even with seemingly similar passive ETFs, different index construction methodologies can lead to widely varying performance. Taking a holistic view that incorporates both the investment process and the fee can lead to a selecting an ETF with a higher expense ratio if its investment
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A Simple Measure of Overbought in NASDAQ is Suggesting a Pullback [Quantifiable Edges]Friday was the 4th day in a row that the NASDAQ closed higher. While this may not seem to be a big deal, it does not happen very often when the NASDAQ is trading below its 200-day moving average. The table below shows results following all times this has occurred since 2002. 2015-03-07 image1 Results here appears to be strongly bearish. And the edge persists for up to 2 weeks. The note at the