This is a summary of links featured on Quantocracy on Monday, 06/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Volatility and measures of risk-adjusted return with Python [Quant Insti]In this post we see how to compute historical volatility in python, and the different measures of risk-adjusted return based on it. We have also provided the python codes for these measures which might be of help to the readers. Introduction Volatility measures the dispersion of returns for a given security. Volatility can be measured by the standard deviation of returns for a security over a
-
Stock Market Anomalies and Baseball Cards [Alpha Architect]I still have a Ken Griffey Jr. Rookie Card. To be honest, I dont even know where the thing is, but I hope it is it worth a ton of money at this point (although I doubt it). So disclaimer up front: I dabbled in baseball card trading back in the day. And for all of you out there who used to trade baseball cards, youll enjoy this recent research paper from Joey Engelberg, Linh Le, and Jared
-
6 Reasons Why Your Fund Checklist is Hurting Performance [Flirting with Models]Summary Most advisors have a fund checklist or screen: a list of selection criteria they employ to help determine whether a fund is worthy of further evaluation. The vast majority of checklists we see employ a performance screen based on a 3- or 5-year period. We believe that employing such a performance screen not only misleads selection efforts, but also can be harmful to portfolio performance.
-
The Trouble with Alpha: Part I (h/t @AbnormalReturns) [Dynamic Beta]Investors equate alpha to outperformance. A high alpha fund presumably delivers substantial excess returns relative to its benchmark. True alpha is short-hand for manager skill. Statistically, alpha simply is the result of a linear regression between two return streams. The regression finds the straight line (ordinary least squares) that best fits the time series. Visually, beta is the slope
-
Consider Factors In Fixed Income [Larry Swedroe]Its been well-documented that, in equity investing, assets have earned premiums because they are exposed to the risks of a certain factor. Given that the literature provides us with a veritable factor zoo (there are more than 300), for investors to consider adding exposure to a factor, it should meet the following criteria: Persistent: It holds across long periods of time and various