Quantocracy’s Daily Wrap for 06/23/2015

The idea is to build a quantitative hedge fund strategy based on momentum investing. With the obvious interest that I see on Quantocracy, I felt that this would be a topic that many of us are interested in. I didnt want to run the risk of previous employers saying I used their IP, so I hired 4 students (Still currently studying, I listed the qualification they were busy wi

Investment News outlines an arbitration request by an investor seeking damages for being placed in two funds; one to F-Squared (an outright fraud) and another to Good Harbor's U.S. Tactical Core Fund (GHUIX). The adviser placed approximately $900,000 of the investor's savings, which his lawyer said was the vast majority, in products managed by two so-called ETF strategi

Yesterday I published a study that showed the week after June opex has exhibited weakness in recent years. An astute newsletter subscriber suggested to me that this could be partially due to Russell rebalancing, which always happens at the end of June. His comments led me to wonder how the Russell 2000 might have performed versus the SPX during late June. The table below shows how the Russell 2000

I am frequently asked about various strategy and portfolio performance metrics and backtests. A reader recently asked if there are any current backtests for the ETFReplay 6/3/3 Portfolio so I decided now is the appropriate time to provide updated results. The strategy background is available here and is updated monthly on Scott's Investments, including a real-time simulate

Over the last few years we've looked at various tools to help us identify exploitable patterns in asset prices. In particular we have considered basic econometrics, statistical machine learning and Bayesian statistics. While these are all great modern tools for data analysis, the vast majority of asset modeling in the industry still makes use of statistical time series anal

The ideas I sketch out every afternoon are fanciful sweet little things, decorated to perfection. Then someone ventures a bite and sometimes finds that that's all they are. Fanciful. Readers are fantastic guinea pigs! Ilya got in touch about this post about diversification and rightly mentioned that it is impossible to actually invest

Danny Zucco and Sandy loved the Summer Nights, but how have they played out for the market over the years? Below I examine two time periods. As youll see, the edge may be shifting. First, lets look at numbers from the summers of 2000 2012 (from the night of June 21st the night of September 20th). 2015-06-23 Q1 As you can see, summer was not a great tim

In case you are new to this game or just in case you never noticed, there are a lot of ways to play this game. This article details one. I cant honestly say that this is a good strategy the test period is relatively short, it uses leverage so it is risky, and drawdowns may be more than some people can bear. Still, there is an old saying that goes something like this:

An astute reader of the post on Risk pointed out that one of the reasons risk management is hard is because it often involves estimating the chance of something that has never happened before. For example, what is the probability of the US defaulting on its debt or of Apple going bankrupt? Sometimes there are instruments in the market that imply these probabilities (