This is a summary of links featured on Quantocracy on Tuesday, 05/17/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Where Do All the Clicks Go? [Quantocracy]Its been about a year since we launched Quantocracy. Over that time, weve sent about 450,000 clickthroughs to sites in the quant community, and that doesnt even include RSS, Twitter, StockTwits and Facebook. To all of the denizens of Quantocracy: a big mahalo, gracias, ?? and thank you for helping this community to grow. But where are all those clicks going? I view this site as more
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Not so Simple: Valuations and Low Volatility Strategies [Alpha Architect]Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldnt want to own something with the label low volatility and Recent performance has been great. Open the AUM floodgates! But perhaps not all is well in low volatility land. A recent snippet by Josh Brown hints at the idea that perhaps low volatility is overdone. Charles Bilello at Pension Partners
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Can We Predict Forward Alternative Investment Performance? [EconomPic]My friend Ben from A Wealth of Common Sense poses the interesting question, How Should Alternative Investments Be Benchmarked? Please go read his post for a number of interesting thoughts on that topic. In this post, rather than rehash his arguments, I'll go a different direction and will try to articulate what drives the performance of alternatives (i.e. hedge funds / liquid alts) to see if
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Update on Attilio Meucci’s The Checklist and ARPM Bootcamp / Code [Return and Risk]Last week I organised for Attilio Meucci to give a webinar to members of CFA Singapore and NUS Risk Management Institute on an Introduction to The Checklist Ten Steps for Advanced Risk and Portfolio Management. It served the dual-purpose of a professional development talk and marketing of the upcoming ARPM Bootcamp on 15-20 August in NYC. The slides can be viewed online at
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Giving Up on Recursive Sine Formula for Period Calculation [Dekalog Blog]I have spent the last few weeks trying to get my recursive sine wave formula for period calculations to work, but try as I might I can only get it to do so under ideal theoretical conditions. Once any significant noise, trend or combination thereof is introduced the calculations explode and give meaningless results. In light of this, I am no longer going to continue this work. Apart from the above
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The Fine Art of Opening Range Breakout Trading [Milton FMR]The goal of this research is to find various set-ups and exit strategies that could be used for trading the opening range breakouts. The time frames we will be looking at are 10min, 15min and 30min opening range breakouts. We will focus our attention on the very liquid futures markets in particular we will analyze the S&P500 futures. We would like to encourage you as the reader to participate
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Trading With Indices [Jonathan Kinlay]In this post I want to discuss ways to make use of signals from relevant market indices in your trading. These signals can add value regardless of whether you trade algorithmically or manually. The techniques described here are one of the most widely applicable in the quantitative analyst's arsenal. Let's motivate the discussion by looking an example of a simple trading system trading