Quantocracy’s Daily Wrap for 05/06/2015

My favourite restaurant in Singapore is near City Hall. Nalan's serves up the tastiest vegetarian food going. Every couple of weeks I go back and find a new and interesting dish. At lunch today my girlfriend ordered Manchurian cauliflower. Deep fried cauliflower in a Hokkien Chinese sauce which usually coats chicken. Think you know cauliflower? Not

New commodity bull market?

How good is Smart Beta? A popular topic lately has been Smart beta ETFs. What is smart beta? It is using different ways to weight an index and the ETF that tracks it. For example, the S&P500 index is a capitalization weighted index. Bigger companies have a larger portion of the index. If you look at the SPY, Apple which is the largest company, accounts for 4% of the index

As we announced a few weeks back, our own Nathan Faber won 2nd place in the 2015 NAAIM Wagner Award paper competition for his research paper The Search for Crisis Alpha: Weathering the Storm Using Relative Momentum. Here's the abstract: Tactical strategies are becoming more prevalent in the marketplace, especially for downside protection. While many of thes

As we announced a few weeks ago, our very own Andrew Gogerty won 3rd place in the 2015 NAAIM Wagner Award paper competition for his research paper Momentum AND Diversification: A powerful risk-adjusted combination. Here's the abstract: Diversification is discussed in nearly every portfolio construction conversation as a risk management tool. Momentum, on th

A negative month in April for the State of Trend Following report, taking the performance below the break-even line for 2015. Please check below for more details. Detailed Results The figures for the month are: April return: -5.71% YTD return: -0.88% The figures above, compared with those in the State of Trend Following report I r

In this post we will look at the backtest results for dynamic exits of the 80 days-to-expiration (DTE) Iron Condor (IC) options strategy, with 12 delta short strikes, with different profit and loss exits. This is a non-directional options trading strategy that seeks to profit from a market that stays within a range between the two short strikes of the Iron Condor. For some

Earlier this week, we began discussing some of the more pervasive and enduring facts and fictions surrounding the value premium. But it's important to understand that the value premium-a phenomenon in which securities that sell at low prices relative to fundamental metrics outperform on average securities that sell at high relative prices-is an empirical fact.

Peter Urbani sent me a timing strategy based on the Cornish Fisher expansion. The world of cumulants is new and fascinating. I took the liberty to code up the strategy using the Backtesting IDE. The contrast between using spreadsheets and code for this type of strategy is stark. Download the code here.