This is a summary of links featured on Quantocracy on Wednesday, 06/24/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mutual Fund Sector Rotation Ideas from readers [Alvarez Quant Trading]he post ETF Sector Rotation generated good ideas on what to try differently. This post will research two ideas using Fidelity sector mutual funds. The previous post focused on two ideas on the Select Sector SPDR ETFs. Mutual Fund Universe These tests will use the Fidelity Sector Mutual Funds. The list was provided by a reader from the original post. The data is
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How to Make Money in Markets: Understanding Expectation Errors [Alpha Architect]A new working paper from Gennaili, Ma, and the one-the-only Andrei Shleifer. Expectations and Investment Using micro data from Duke University quarterly survey of Chief Financial Officers, we show that corporate investment plans as well as actual investment are well explained by CFOs expectations of earnings growth. The information in expectations data is not sub
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A Random Ass Kicking of Wall Street [Following the Trend]A random number generator can beat your mutual fund. Given a choice between a random portfolio and a mutual fund, Ill go with the randomizer every day of the week and twice on Sundays. You think Im joking? Im not joking. Trashing the mutual fund industry is almost like beating a dead horse. Except of course that its a thriving, multi billion dollar dead horse. Still, po
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Stops IV: The Trailing Stop [Factor Wave]A reader asked if there was any real difference between using a fixed stop at a given distance from our entry price or a trailing stop which we move so it stays a certain distance from the highest amount the investment has made. A trailing stop is a very comforting strategy. It seems to protect us from the painful experience of seeing our winners turn into losers (covered in this post).
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Will the quants blow up the markets again? [Humble Student of the Markets]Josh Brown had a fascinating post which postulated that the quants pose a significant systemic risk to market volatility: Theres an interesting idea going around that asset management specifically the metastasizing quantitative strategies run via black box are where the next big scare is due to come out of. Volatility has been so low, for so long, that winning trades
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Modeling Interest Rates Meucci Style [Return and Risk]I have signed up for Attilio Meuccis ARPM Bootcamp next month (July 13-18) in NYC http://www.symmys.com/arpm-bootcamp, and need to do quite a bit of prep as its going to be a deep-dive The Advanced Risk and Portfolio Management Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniqu
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A Conjecture Which Unifies Timing Strategies [John Orford]When arrested in Asia (many countries, not everywhere) never step into the station. Once you put a foot inside, there's an unstoppable force pulling you deeper into the bowels of the judicial system. Conviction rates in Japan, Korea and China are 99%+. For comparison, conviction rates are in the 70s in the UK and US. Why?
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New related paper to #8 – FX Momentum [Quantpedia]Authors: Grobis, Heinonen Title: Is Momentum in Currency Markets Driven by Global Economic Risk? Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2619146 Abstract: This article documents a robust link between the returns of the momentum anomaly implemented in currency markets and global economic risk, measured by the currency r