Quantocracy’s Daily Wrap for 09/08/2015

I have always looked favorably upon do-it-yourself investing (DIY). It was a prominent feature of my own book. So Ive been looking forward to DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth by Wes Gray, Jack Vogel, and David Foulke (GVF), the managing members of Alpha Architect. GVF took on an ambitious project since they cover a broad range of su

This post will evaluate signals based on the rank regression hypotheses covered in the last post. The last time around, we saw that rank regression had a very statistically significant result. Therefore, the next step would be to evaluate the basic signals whether or not there is statistical significance in the actual evaluation of the signalnamely, since the strategy fr

Jesse Livermore of the always interesting Philosophical Economics outlines the case for writing puts in his recent post The Worlds Best Investment For the Next 12 Months. Given this has been an area of focus for me professionally for the better part of the last 5 years (sneak preview… I love the concept), I thought I could add to the conversation. Note that some of the post below dup

How much influence do investors have over their portfolios? Perhaps it's less than commonly assumed. The notion that randomness plays a role in money management has been widely studied in finance-Nassim Taleb's popular treatment in Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets is one example. The concept is a staple in the money game, although it's

Frugal Fran is a 25-year old investor at the beginning of her career making $40,000 per year. Financially savvy, she has already started planning for her retirement. She plans to retire at age 65 and follow an "own your age" policy for her stock/bond mix. Fran projects a salary increase of 1.5% per year, after inflation. When she retires, Fran would like to replace 85% of her income

In a situation where you wish to determine the returns on an investment, one may have all the expertise to do this but without certain information (missing pieces) it would not be possible to derive to a conclusive figure. In practical terms assume you have the value of all returns of all assets in your portfolio; without the rate at which each asset produces the returns we will not ha

One of my former studies I looked at over the weekend examined how the market performed following large selloffs before U.S.-only three day weekends. These include Labor Day, Martin Luther King Day, Presidents Day, Memorial Day, and Fourth of July. Since 2000 there have been 12 instances where there was a greater than 1% selloff prior to the US-only 3-day weekend. Statistics from 1-5 d

A positive return for the State of Trend Following index, bringing the YTD performance nearly exactly on neutral level. The big spike up seen in the last part of the month, which brought the index close to +10%, was short-lived. The index quickly reverted it with a quick spike down. Please check below for more details. Detailed Results The figures for the

The SPDR S&P 500 ETF SPY fell more than 6% in August Measured against other monthly returns, August 2015 was the worst month since 2012 Monthly returns are arbitrary and skew our understanding of market moves Since 2012, there have been several -6%, or near -6%, return periods Recently, in reference to August 2015, this headline appeare

Authors: Lambert, Fays, Hubner Title: Size and Value Matter, But Not the Way You Thought Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2647298 Abstract: Fama and French factors do not reliably estimate the size and book-to-market effects. We demonstrate inconsistent pricing of those factors in the US stock market. We replace Fama and Frenchs independent rankings with the