This is a summary of links featured on Quantocracy on Wednesday, 05/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Trade Cost Optimisation II: Tracking Error and the Cutting Plane Algorithm [Scalable Capital]This blog article builds on our first blog article about trade cost optimisation approaches. We discuss some weaknesses of the simple approach presented in the first article and make suggestions for extending and improving the trade cost optimisation towards a more sophisticated and powerful algorithm. Distances between portfolios can be measured with different metrics: We compare turnover and
Our Systematic Value Philosophy [Flirting with Models]As a firm, Newfound Research focuses on tactical allocation strategies. However, we also spend time researching other mandates such as systematic value in an effort to introduce lateral thinking to our process. Three years ago, we built a systematic value portfolio that seeks to create a style pure investment result, attempting to diversify process specification and timing luck risk.
News Sentiment and Bonds [Alpha Architect]Academic literature has documented a news sentiment effect on equities ( here and here ). The authors investigate the following research question: Does the sentiment derived from media content impact bond market investors? What are the Academic Insights? By studying the sentiment extracted from articles from the entire Thomson Reuters news universe (over 400,000 news sentiment items per month from