This is a summary of links featured on Quantocracy on Monday, 06/13/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Smart Beta Is Still Beta [Dual Momentum]Some say that bull markets climb a wall of worry. This is good news for those already in the market. Worriers will help the market go higher later when they finally decide to jump on the bandwagon. Herding, representativeness, and regret aversion (fear of losing out on future profits) can eventually overtake loss aversion. Investors Skeptical The iconic investor and money manager, Sir John
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Forecast combinations in R [Eran Raviv]Few weeks back I gave a talk in the R/Finance 2016 conference, about forecast combinations in R. Here are the slides.
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Want to Know the Secret to Inefficient Prices? Lazy Prices. [Alpha Architect]How do you handle repetitive tasks? If youre like most people, you work through a task in a variety of ways, find the most efficient approach, and then stick to that workflow. Consider email address autofill, automatic payment plans, or automatic renewal of magazine subscriptions. Because of behavior bias and the power of inertia (also known as the, Yeah, whatever, heuristic), it takes
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Diversification opportunities in fixed income [Flirting with Models]Summary Many investors look at fixed income as the diversifying sleeve of their portfolio, helping to safeguard capital against losses in more volatile equity positions. Traditional fixed income indices are very heavily weighted towards U.S. Treasuries and agency mortgage-backed securities, offering very little internal diversification. There are numerous extended sectors now available as ETFs
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Sharp Drops From Intermediate-Term Highs Short Term Bullish [Quantifiable Edges]Thursday and Friday saw relatively large selloffs in SPX. After closing at a 50-day high on Wednesday it closed at a 10-day low on Friday. This triggered an interesting study from the Quantifinder that looked at relatively sharp selloffs that made at least 8-day lows. I have updated that study below. 2016-06-13 image1 The stats all suggest an upside edge over the next 1-5 days. Traders may want to
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FTSE 100 around FOMC announcements [UK Stock Market Almanac]The Federal Open Market Committee (FOMC) is the monetary policy-making body of the U.S. Federal Reserve System. Since 1981 the FOMC has had eight scheduled meetings per year, the timing of which is quite irregular, The schedule of meetings for a particular year is announced ahead of time [calendar here]. Starting in 1994, the FOMC began to issue a policy statement (FOMC statement) after the