Quantocracy’s Daily Wrap for 05/15/2017

This review is a book review of Gary Antonaccis Dual Momentum Investing book. The TL;DR: 4.5 out of 5 stars. So, I honestly have very little criticism of the book beyond the fact that the book sort of insinuates as though equity momentum is the be-all-end-all of investing, which is why I deduct a fraction of a point. Now, for the book itself: first off, unlike other quantitative trading books

Bitcoin, Ethereum and some other cryptocurrencies seem to be in the spotlight again due to their most recent acceleration. C_y2pGfXoAApvdI Source: CEOTechnician Ethereum is up multiples since January. I thought we could take a look at importing Etherum price data in R and then seeing if we can draw any parallels between Ethereum and Bitcoin using the pattern matching algorithm weve looked at

In this case study, we explore building a simple, low cost, systematic municipal bond portfolio. The portfolio is built using the low volatility, momentum, value, and carry factors across a set of six municipal bond sectors. It favors sectors with lower volatility, better recent performance, cheaper valuations, and higher yields. As with other factor studies, a multi-factor approach is able to

"Today the VIX traded below 10 briefly intraday. A pretty rare occurrence. Since 1993, there have been only 18 days where it traded below 10 intraday and only 9 days where it closed below 10." (source: some random dude on my linkedin feed) … indeed 18 observations is a long…. long… way from anything close to a statistically significant sample size. (my response to random dude) You

A lot of people look at this bull market, valuations, and think somehow that value has forsaken us. And that the much discussed CAPE ratio doesnt work. They look at the CAPE ratio, at a current value of about 30 in the US, and think somehow that markets rising along with multiples expanding somehow invalidates the CAPE ratio. (Well ignore for a second the fact the CAPE ratio hit 13 in 2009,