This is a summary of links featured on Quantocracy on Wednesday, 04/26/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Academic Factor Exposure Versus Fund Factor Exposure [Alpha Architect]Tomorrow Ill be sitting with Pat OShaughnessy and Ben Johnson to discuss Straight Talk About Smart Beta. Here is a link to the big Morningstar event. In preparation for our discussion we were spitballing ideas and Ben brought up the concept of helping investors understand the similarity/differences between live factor funds and the academic factor portfolios often used for
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The best investment strategy in Europe from 2000 to 2014 data driven [Quant Investing]What investment strategy would have given you the highest returns in Europe over the 13 year period from July 2000 to July 2014? In this article I summarised the masters thesis of Andreas Hennes (completed at Goethe University Frankfurt am Main on 14 September 2015) where he set out to test exactly that. Results and findings Before I get to all the details here are the summarised results:
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Vix Blues, Large Close to Close Declines in Vix [Voodoo Markets]This monday, we were witnesses to a rather large decline in Vix. Taking a quick look at how often drops like this happen and how has Vix behaved after large single day drops 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 import pandas as pd import numpy as np import matplotlib.pyplot as plt import matplotlib.dates as mdates import scipy as sp import seaborn as sns import quandl
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The Dividend Growth Myth [Meb Faber]A few weeks ago, I was sipping coffee, thumbing through Barrons as I do every weekend. Its a way in which I keep a pulse on whats going on in our space. Though I never consciously pay attention to ads, on that particular morning, one caught my eye a big full pager from Schwab, below. They were trumpeting their low-cost trading commissions in the ongoing fee compression in the