This is a summary of links featured on Quantocracy on Wednesday, 05/11/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Cliff Asness’s (AQR) View on Factor Timing [Quantpedia]Everyone seems to want to time factors. Often the first question after an initial discussion of factors is ok, whats the current outlook? And the common answer, the same as usual, is often unsatisfying. There is powerful incentive to oversell timing ability. Factor investing is often done at fees in between active management and cap-weighted indexing and these fees have been falling
How To Compute Turnover With Return.Portfolio in R [QuantStrat TradeR]This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio function in R. It will demonstrate this on a basic strategy on the nine sector SPDRs. So, first off, this is in response to a question posed by one Robert Wages on the R-SIG-Finance mailing list. While there are many individuals out there with a
State of Trend Following in April [Au Tra Sy]The state of trend following was negative last month, as it was in March. The index is now just above the zero-line for the year, back from nearly the +20% mark a month and a half ago. Please check below for more details. Detailed Results The figures for the month are: April return: -2.35% YTD return: 2.54% Below is the chart displaying individual system results throughout April: