This is a summary of links featured on Quantocracy on Wednesday, 08/05/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Two Centuries of Momentum [Flirting with Models]A momentum-based investing approach can be confusing to investors who are often told that chasing performance is a massive mistake and timing the market is impossible. Yet as a systematized strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results. Our firm, Newfound Research, was found
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Maximum Loss Stops: Do you really need them? [Alvarez Quant Trading]We hear it all the time. You must use stops. And most of us use them. But do you know how they change your strategy results? Are they improving your results by giving you higher CAR or lower maximum drawdown? Recently I was speaking with a reader about this topic and he insisted that it you had to have stops to trade. Well, does one? Early in my time while working with La
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Turn of the Month Effect in Commodities [Factor Wave]I've been thinking about applying factor analysis to commodity futures. People have studied this idea but commodity factors have not been studied to the same degree as equity factors. This is to be expected. Stocks are parts of companies and there are many commonalities between the operations and accounting reports of companies, even those in different industries and sectors. On the oth
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When Bonds Act Like Stocks [Larry Swedroe]Research into the determinants of fixed-income returns have found that a number of stock and bond market risk factors can be shown to demonstrate explanatory power beyond the standard term-structure variables. Ivelina Pavlova, Ann Marie Hibbert, Joel Barber and Krishnan Dandapaniauthors of the paper Credit Spreads and Regime Shifts, which appears in the Summer 2015 issue