This is a summary of links featured on Quantocracy on Thursday, 06/25/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Think MPT Doesn t Work? Clearing Up Some Misconceptions [CSS Analytics]I have spent many years toiling with creating different asset allocation methodologies including the application of traditional and non-traditional portfolio optimization. Given the recent flare of articles on this topic in the blogosphere, I felt it was worthwhile to share my two cents. Applying optimization to a tactical approach is a topic that readers may already be familiar with,
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Backtesting A Cautionary Example [Scott’s Investments]My previous article detailed backtest results for the ETFReplay.com portfolio. Aggregate, risk-adjusted results since 2004 were impressive when compared to a 60/40 Vanguard mutual fund. However, results over the past 2-3 years lagged the benchmark. The test below was conducted using Portfolio123 (P123?). It uses a similar ranking system to the ETFReplay 6/3/3 system but
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Lazy PCA Site Update [John Orford]There's been a bunch of feature suggestions since the last update to the Lazy PCA site. All the code is on Github, if you have a little Javascript experience, I will gladly walk you through it. Please keep shooting feature ideas over too though. You know when you're done with an app when you can't remove any more features, and that's where my minds
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How to Get a List of all NASDAQ Securities as a CSV file using Python? [Quant at Risk]This post will be short but very informative. You can learn a few good Unix/Linux tricks on the way. The goal is well defined in the title. So, whats the quickest solution? We will make use of Python in the Unix-based environment. As you will see, for any text file, writing a single line of Unix commands is more than enough to deliver exactly what we need (a basic text file processing)