This is a summary of links featured on Quantocracy on Friday, 05/17/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tactical Asset Allocation and Taxes: FIFO vs LIFO Deep Dive [Allocate Smartly]This is a deep dive into which share disposal method FIFO or LIFO would have been more tax advantageous for the 80+ asset allocation strategies we track. When selling shares FIFO (first in, first out), the oldest shares held are sold first. When selling LIFO (last in, first out), the most recently purchased shares are sold first. We find that the investors share disposal method would
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Is There Alpha in Borrow Fees? [Quant Rocket]Borrow fees reflect how likely short sellers think a stock is to decline. Can this information be incorporated into trading strategies as an alpha factor? This article uses Alphalens to explore the relationship between borrow fees and forward returns and uses Moonshot and Zipline to demonstrate ways to incorporate borrow fees into long or short strategies. Summary High borrow fees are an
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Golden clusters [OSM]We recently saw a post from PyQuant News that piqued our interest, compelling us to dust off the old blog files and get back into the saddle. The post highlights a longer article from the London Stock Exchange Group (LSEG) on how to use different machine learning models to identify and forecast market regimes. That article uses Refinitiv, a market data service like Bloomberg, which we dont have
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Ehlers Ultimate Smoother [Financial Hacker]In TASC 3/24, John Ehlers presented several functions for smoothing a price curve without lag, smoothing it even more, and applying a highpass and bandpass filter. No-lag smoothing, highpass, and bandpass filters are already available in the indicator library of the Zorro platform, but not Ehlers latest invention, the Ultimate Smoother. It achieves its tremendous smoothing power by subtracting
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Social Media: The Value of Seeking Alpha s Recommendations [Alpha Architect]The increased popularity of social media as a forum for market participants to post and exchange opinions has been accompanied by heightened interest from academic researchers who have sought to determine if there is valuable information in the postings. For example, the June 2020 study Do Individual Investors Trade on Investment-related Internet Postings? investigated whether social media
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Research Review | 17 May 2024 | Market Analytics [Capital Spectator]Regime-Based Strategic Asset Allocation Eric Bouy and Jerome Teiletche (World Bank) April 2024 What should investors do in the presence of economic regimes? Researchers and practitioners usually address this topic from a tactical asset allocation point of view. In this article, we depart from the literature by tackling the issue strategically and analytically. Modeling economic regimes as a