This is a summary of links featured on Quantocracy on Monday, 05/13/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Fractional Differentiation [Quants Portal]In this article we delve into the challenge of making an asset price series stationary (for reasons discussed below) and preserving as much memory/signal from the original series. We take inspiration from Chapter 5 of the Advances in Financial Machine Learning (AFML) by Dr. Marcos Lopez de Prado therein he discusses fractionally differencing the time series (as opposed to integer differencing). A
-
Member Analysis: The Effect of Combining Strategies on Timing Luck [Allocate Smartly]We enjoy hearing from members about their experiences using our platform to analyze and combine tactical asset allocation strategies. We do a bad job of sharing that feedback with other members, and thats a shame, because theres often a lot of wisdom in it. So lets change that. What follows is an email from member Mark demonstrating the benefit of combining strategies not just on
-
Country Rotation with Growth/Value Sentiment [Flirting with Models]Value investing has not only underperformed with regard to security selection, but also country selection over the last decade. In an effort to avoid country value traps, we set out to design two signals that might better confirm when a country is likely to exhibit positive re-valuation. We find that one of the signals exhibits curious results, leading us to develop an entirely new metric for
-
10 Large Scale Factor Anomaly Studies with Definitions [Two Centuries Investments]A Taxonomy of Anomalies and their Trading Costs 2015, Robert Novy-Marx and Mihail Velikov (with data) and the Cross-Section of Expected Returns, 2013, Campbell Harvey, Yan Liu, Caroline Zhu (factor list) A Comparison of New Factor Models, 2014, Kewei Hou, Chen Xue, Lu Zhang The Supraview of Return Predictive Signals, 2012, Jeremiah Green, John Hand, Frank Zhang Does Academic Research Destroy
-
Short Selling + Insider Selling = Profitable Strategy? [Alpha Architect]What are the research questions? This study uses a long and comprehensive time series covering 1977-2014, with just under 180,000 quarterly observations for trades of short sellers and demand for shares by corporate insiders. (see here for a related paper we covered recently that talks about informational advantages). The data is used to construct practical trading strategies utilizing in
-
SPX Iron Condor – 2018 Review [DTR Trading]In this post we'll look at how the SPX iron condor has been performing since I last analyzed its results back in 2016 (here). For this article, we'll just look at the following variations and how they performed from January 2007 through December 2018: 66 DTE – 25 pt wings, 12 Delta (200:50) / 2 DTE – exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit
-
Hedge Fund ETFs [Factor Research]Core hedge fund strategies are available as low-cost and transparent ETFs The performance of hedge fund ETFs has been comparable to that of their benchmarks ETFs have only captured 1% of hedge fund assets INTRODUCTION As Amazon has been decimating large parts of the retail industry over the last two decades, ETFs have done the equivalent to the mutual fund industry in the financial world. Today
-
Welcome to Investor IQ [CSS Analytics]There is some interesting new content on the CSSA blog that will be very useful for readers. Investor IQ is currently a free tool that shows basic trend signals (Buy, Hold or Sell) for a wide range of US and Canadian ETFs as well as a relative strength ranking. The signals will be updated as of the close of Friday and posted on Monday morning. This feature is currently in Beta and will be expanded