This is a summary of links featured on Quantocracy on Monday, 07/01/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The average is better than average [Spring Valley]Researchers often devote a significant amount of time trying to determine the optimal, or best performing, configuration of a trading model. With the proliferation of data and advances in high-performance computing, it is trivial to optimize millions, even billions, of trading models and parameter sets. While these developments are undoubtedly powerful, researchers are virtually guaranteed to
-
Factor Olympics 1H 2019 [Factor Research]Most factors generated positive returns in 1H 2019 Low Volatility produced the best and Value the worst performance Factor performance is comparable in the US & Europe, but markedly different in Japan INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. We only present factors where academic research highlights positive excess returns
-
Debunking myths about stock buybacks [Alpha Architect]What are the research questions? The authors present 4 MYTHs regarding stock buybacks popular in the financial press. MYTH 1: Companies are self-liquidating using share repurchases at a historically high rate. MYTH 2: Share repurchases have come at the expense of profitable investment. MYTH 3: The recent run-up in prices is the result of share repurchases. MYTH 4: Companies that repurchase shares
-
Value and the Credit Spread [Flirting with Models]We continue our exploration of quantitative signals in fixed income. We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries. The value signal generates a 0.84% annualized return from 1950 to 2019 but is highly regime dependent with meaningful drawdowns. Introducing a nave momentum strategy significantly improves the
-
12 Reasons Why Traditional Asset Allocation Doesn t Work [Two Centuries Investments]1. Crashes and Low Returns (link) Static asset allocation locks in the Two Risks that Ruin Investing – crashes and low returns. If you accept a static asset allocation strategy, you accept its history repeating in the future. For example, a 60/40 strategy drawdown of -63% in the 1930s. 2. Low Conviction (link) Data shows most people cannot stick with their static asset allocation
-
Bitcoin Swing Trading [Philipp Kahler]I published a bitcoin swing trading strategy in 2015 over here (German only). Time to review the methodology of swing trading and have a look on the performance. Can a rational strategy get an edge in an irrational market? Have a look and be surprised! Swing Point Trading Technique Swing trading is a short term, trend following trading technique which focuses on the local highs and lows of the
-
State of Trend Following in June [Au Tra Sy]Positive month for the Wizards which lifts the YTD performance further up in the positive territory at the halfway mark. Please check below for more details. Detailed Results The figures for the month are: June return: 1.46% YTD return: 4.52% Below is the chart displaying individual system results throughout June: StateTF June And in tabular format: System June Return YTD Return BBO-20 1.07% 7.59%