This is a summary of links featured on Quantocracy on Wednesday, 07/26/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Why Today s Fed Day Setup May Not Be As Bullish As Most [Quantifiable Edges]Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years, with the most complete documentation coming in The Quantifiable Edges Guide to Fed Days. Based on what the market did Tuesday, this does not seem to be the most favorable Fed Day setup. A big reason for this is that SPX closed at a 20-day high on Tuesday. Fed
Stochastic portfolio theory, revisited! [Quant Dare]Im here today to talk about the Stochastic Portfolio Theory (SPT). SPT is a relatively new portfolio management theory. It was first introduced in 1999 by Robert Fernholz. In my opinion, SPT is very attractive for several reasons: its theoretical, its not very well known and, most importantly, its cool. Lets begin this post with a gentle introduction to the topic. This theory is all
Testing Equity Factor Allocation Strategies With Random Portfolios [Capital Spectator]Designing and managing asset allocation strategies based on factors is promoted in some corners as a better way to build portfolios. Not surprisingly, theres no shortage of studies that support this view. But the jurys still out on whether its prudent to throw out the standard asset-class buckets. Factor-based investing can play a productive role in enhancing a conventionally designed