Quantocracy’s Daily Wrap for 04/17/2015

Understanding Dual, Relative, and Absolute Momentum (Gary Antonacci) Long-short Strategy Simulation based on Front-Page Articles in the WSJ (Matthies and Liu) Am I My Peers Keeper? Social Responsibility in Financial Decision Making (Fulbrunn and Luhan) Employees Will Work Harder Under Loss Contracts than Under Gain Contracts? (Imas, Sadoff and Samek) Are Mutual

Given their relatively high yields, utility stocks have long been thought of as proxies, or at least competition, for bonds. And while that relationship is often overplayed (utility stocks are first and foremost, stocks), there is some credence to the notion. Since 1970, there is a 26% positive correlation in 2-month returns between 10-Year Treasuries and the Dow Jones Utility Average (

There is a lot of talk about stocks being expensive, but also a lot of people not really doing anything about it. Many simply dont know how to tackle the problem, and others dont want to think about it at all. Below, for some perspective, are historical returns to stocks since 1970 and the 10 worst months for the S&P. On average youre looking at a 11% decline, and that only happen

Logical Invest at the Silicon Valley chapter of the AAII & upcoming Webinars What an audience and what an experience! Thanks AAII Silicon Valley! As announced some weeks ago, on April 11 we hosted our first conference at the Silicon Valley chapter of the AAII (American Association of Individual Investors) in San Jose, CA. Sharing and discussing some of th

Investors based in different countries earn different returns on same strategies because the same risks covary differently with countries' stochastic discount factors (SDFs). We document that investors in low-interest-rate countries earn more than those in high-interest-rate countries on identical carry trade strategies. We propose a novel econometric procedure to estimate country-speci

Alright, so the S&P 500 declined 1.1% today. That is the worst daily decline since March 25, 2015 when it fell 1.46%. Within this context, todays loss seems far less worrisome than you probably heard today. But, with the current bull market well above average duration and performance since 1949 some jitteriness is to be expected. Plus it has been nearly four years since S&P 500 started

I've been busy working on the open-source QSForex system over the past week. I've made some useful improvements and I thought I'd share them with you in this forex trading diary update. In particular, I've made the following changes, which will be discussed at length in this entry: Modification to the Position object to fix an error with how position openin

Previously, I checked whether historical skewness was a good indicator to buy and sell the S&P 500. My backtesting framework can now use the implied skew index as an indicator to buy or sell. Now, the strategy buys the S&P 500 if the implied skew index has dropped day over day and vice versa. Note that the S&P 500's implied skew is permanently nega

The Self-Similarity metric has been a popular series. Recently the original post was shared on Jeff Swansons popular site System Trader Success which covers a wide variety of thought provoking articles on trading system development and is worth reading. Jeff has also posted some TradeStation code for the indicator which some readers may find valuable. In a great example of vertical blogging, a

In January 2012 I announced a new portfolio, a Benjamin Graham inspired value stock portfolio. The Graham portfolio is an attempt to add a value strategy to Scotts Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks returns for a portfolio of 15 stocks selected based on a variety of valuation metrics. The criteria used to