Quantocracy’s Daily Wrap for 05/10/2019

Lets imagine a world where value stocks actually provide some outperformance at some point In a world like that, are there any simple rules one could implement into their value system to help avoid falling knives? The optimist in me says yes, but the realist says nope. Turns out, it is probably somewhere in between. The test is pretty simple: U.S. Common Stocks (Top 50% of Market)

In this paper, we discuss using CLS intraday hourly flow data to understand FX markets. Using two different trading strategies (daily and hourly) against a generic trend model, we find that CLSs flow data relating to funds and non-bank financial firms (NBFIs) tends to have a positive contribution to spot returns when viewed on an aggregate contemporaneous basis. By contrast, flows from buy-side

Tail Risk Management for Multi-Asset Multi-Factor Strategies David Chambers (University of Cambridge), et al. January 8, 2019 Multi-asset multi-factor portfolio allocation is typically centred around a risk-based allocation paradigm, often striving for maintaining equal volatility risk budgets. Given that the common factor ingredients can be highly skewed, we specifically incorporate the notion of

It is notable that the Quantifiable Edges Capitulative Breadth Indicator (CBI) closed at 10 on Thursday. Below is a study that shows other times the CBI reached 10 while the SPX was above its 200ma. 2019-05-10 A very high percentage of instances closed higher when looking out 4 or more days. The numbers certainly seem to point to a bullish edge. Below is a profit curve that assumes a 5-day holding

Positive month for the State of Trend Following index. YTD fighting back to the zero line Please check below for more details. Detailed Results The figures for the month are: April return: 2.89% YTD return: -1.6% Below is the chart displaying individual system results throughout April: