This is a summary of links featured on Quantocracy on Tuesday, 04/24/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Keller Ratio: Finding the Best Strategy for an Investor’s Unique Risk Tolerance [Allocate Smartly]We wanted to take a moment to highlight a post from the always smart JW Keuning describing a novel approach for measuring how well a strategy has performed relative to drawdowns (losses): Presenting the Keller Ratio. Our preferred method for assessing a strategys return relative to drawdown has always been the Ulcer Performance Index, but the Keller Ratio offers the unique ability to adjust
-
The World’s Longest Multi-Asset Momentum Investing Backtest [Alpha Architect]As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2607730 Most of the research on momentum is repetitive and reaks of data torture, but Geczy and Samanov
-
Three-day Pullback Pattern Into Turnaround Tuesday Potentially Bullish [Quantifiable Edges]SPYs move lower over the last 3 days has set up a potential Turnaround Tuesday scenario. The fact that it made a lower high, lower low, and lower close for at least the 3rd day in a row triggered the following study. 2018-04-241 The numbers are impressive and the bounces couldnt get much more reliable. In all but two instances SPY has managed to bounce at some point in the next four
-
There Exist Two Different Accruals Anomalies [Quantpedia]We document that several well known asset-pricing implications of accruals differ for investment and non-investment-related components. Exposure to an investment-accruals factor explains the cross-section of returns better than the accruals themselves, and this factors returns are negatively predicted by sentiment. The opposite results hold for non-investment accruals. Further tests show cash