Quantocracy’s Daily Wrap for 06/04/2015

Facts and Fantasies About Commodity Futures Ten Years Later Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively correlated with t

The R/Finance 2015 Conference wrapped up last Saturday at UIC. It has been seven years already, but R/Finance still has the magic! – mostly very high quality presentations and the opportunity to interact and talk shop with some of the most accomplished R developers, financial modelers and even a few industry legends such as Emanuel Derman and Blair Hull. Emanuel Derman led

An Actual (Theoretical) Approach to Trading KO So lets assume two traders took the following approaches to trading KO starting on 12/31/1981, each with $1,000: *Trader A bought $1,000 worth of KO stock and held it through 6/2/2015. *Trader B bought and held KO stock twice a year, during the two favorable periods I have identified in Part 1 and Par

Global breadth weakening $SPY

To install Systematic Investor Toolbox (SIT) please visit About page. The Momentum and Markowitz: A Golden Combination (2015) by Keller, Butler, Kipnis paper is a review of practitioners tools to make mean variance optimization portfolio a viable solution. In particular, authors suggest and test: adding maximum weight limits and adding target vol

Level, Slope and Curve Factor Model for Stocks