This is a summary of links featured on Quantocracy on Monday, 09/19/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Future of Quant Finance Careers [Quant Start]The world of quantitative finance continues to evolve at a rapid pace. Even in the last four years of the existence of this site the market for quant jobs has shifted significantly. In this article we outline these shifts. The advice on what is likely to be in demand in the next few years will be applicable both to those still in education as well as those thinking ahead to a career change. The
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Case Study: Leveraging Risk Efficient Portfolios for enhanced returns [KKB Research]Academics have been shouting from the rooftops about risk-efficient portfolios (minimum variance, minimum correlation, minimum expected shortfall etc) and their merits, for some time now. This has led to a suite of indices from EDHEC-Risk, many minimum variance funds, ETFs, risk parity products and the like. The goal of the experiment here is to see if we can take a minimum variance portfolio,
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High Capital Gains, Low Expected Returns: A Frustrating Combination [Flirting with Models]When carried through a traditional mean-variance optimization process, J.P. Morgans capital market assumptions imply a significant overweight to satellite bonds. Many portfolios have significant capital gains as a result of strong equity and fixed income markets over the last 30+ years. However, be careful before dismissing the possibility of rebalancing a portfolio based upon current asset
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Why Momentum Is Struggling [Larry Swedroe]Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. Mark Carhart, in his 1997 study On Persistence in Mutual Fund Performance, was the first to use momentum, together with the three Fama-French factors (market beta, size and value), to explain mutual fund returns.
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Trading with Interactive Brokers using Python: An IBPy Tutorial [Quant Insti]Since we are gearing up for our webinar on Trading with Interactive Brokers using Python, I thought it would be very good if give you a brief insight on Interactive Brokers API and using IBPy to implement Python in IBs TWS. As we proceed Interactive Brokers demo account and IBPy. Towards the end of this article, you will be running a simple order routing program using Interactive Brokers API.
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The Weakest Week Is Back [Quantifiable Edges]From a seasonality standpoint, there isnt a more reliable time of the year to have a selloff than this week. In the past I have referred to is as The Weakest Week. Since 1961 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic to show how this upcoming week has played out over time.