This is a summary of links featured on Quantocracy on Monday, 07/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Simulating Variable FX Swaps in Zorro and Python [Robot Wealth]One of the ongoing research projects inside the Robot Wealth community involves an FX strategy with some multi-week hold periods. Such a strategy can be significantly impacted by the swap, or the cost of financing the position. These costs change over time, and we decided that for the sake of more accurate simulations, we would incorporate these changes into our backtests. This post shows you how
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Vol Targeting and Trend Following [Investment Idiocy]I was moved to write this by a post on LinkedIn, which you can find here, and which is worth quoting (and thanks to Helder Palaro for pointing me at this): "Volatility tends to cluster. Recent high(low) volatility is followed by high(low) volatility in the near-term (ARCH). VT says lever the portfolio during low-vol regimes & scale-down leverage during high-vol regimes. Target
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Artificial Intelligence and Value Investing [Alpha Architect]The paper investigates the following research question: Can machines allocate capital in the classic style of a value investor like Benjamin Graham or Warren Buffett? What are the Academic Insights? By connecting two broad and disparate areas (the innovative AI domain and the more old-fashioned value investing), the author speculates: YES- With the right kind of AI it will be possible. The author
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Is Friday s Sharp Drop in VXO Meaningful? [Quantifiable Edges]The rally on Friday was accompanied by a sizable drop in the VIX (and even more so for the VXO, which is the old calculation for the VIX). This triggered some old studies for me in which I noted that big drops in the VXO have had much different connotations depending on whether SPX is in a long-term uptrend or downtrend (as defined by its proximity to the 200ma). I decided to review those studies,
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State of Trend Following in June [Au Tra Sy]Slight positive uptick in the State of Trend Following Performance report last month, leaving the YTD performance in negative territory at half-time. Please check below for more details. Detailed Results The figures for the month are: June return: 0.25% YTD return: -2.67% Below is the chart displaying individual system results throughout June: StateTF June And in tabular format: System June Return
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Factor Crowding Model [Factor Research]Crowded factors exhibit higher drawdowns than uncrowded factors A multi-metric approach can be successfully applied to measure factor crowding Effective in reducing factor drawdowns and volatility, but less meaningful for returns INTRODUCTION Architects devoted to creating large public facilities like sports stadiums are tasked with finding a good balance between aesthetics, commercialism and
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On Performance Commentary [Flirting with Models]With the end of another quarter, the time of performance commentaries is upon us. We generally find most performance commentaries to be devoid of much substance, taking a heads Im skilled, tails Im unlucky mentality to describing short-term results. While quants may be reluctant to offer any substantial reasoning as to why performance occurred, quants can offer radical transparency