This is a summary of links featured on Quantocracy on Friday, 03/31/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
A Dead-Simple Hedge Ratio API [MKTSTK]As the title suggests, I created a dead simple hedge ratio API called Risk Hedger. Also its free and the Python client is open source. So if youre in to that kind of thing feel free to read on: What is a Hedge Ratio? Traders and investors buy/sell hedges when they want to reduce the risk of their portfolio. Additionally, certain strategies such as Pairs Trading rely on accurate estimation of
Factor Investing: The Fama French 5-Factor Model on Chinese A-Shares [Alpha Architect]Each year I teach my seminar in investments course at Drexel, which consists of the Masters in Finance students and a handful of geeky MBA students. The first few weeks of the course involve an introduction to various investment frameworks and how to navigate the source academic literature. The rest of the course is dedicated to research. Yeah, baby! I divide the class into research groups
Research Review | 31 March 2017 | Managing Portfolio Risk [Capital Spectator]Bubbles for Fama Robin M. Greenwood (Harvard Business School), et al. February 2017 We evaluate Eugene Famas claim that stock prices do not exhibit price bubbles. Based on U.S. industry returns 19262014 and international sector returns 19852014, we present four findings: (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low