This is a summary of links featured on Quantocracy on Tuesday, 09/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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TAA Alpha and The Greatest Trick the Devil Ever Pulled [GestaltU]The investment industry has investors convinced that the only path to better performance is through stock selection. As a result, most investors approach the challenge of portfolio construction exactly backward, and miss out on the most important opportunities to produce differentiated performance. The purpose of this series is to challenge the conventions that lead to misguided asset allocation
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The Cost of Contango It s Not the Daily Roll [Six Figure Investing]Its well known that long volatility Exchange Traded Products (ETPs) like VXX, UVXY, and TVIX often experience devastating losses during market quiet spellseven when the value of the VIX is staying relatively stable. These heavy losses occur when the VIX futures that underlie these funds are in a price/time arrangement called contango. The chart below shows an example of VIX futures in a
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How to Scrape Data for Over 1,900 ETFs [Signal Plot]You can download the ETF metadata I scraped here and the price history here. You can also take a look at the code I used to scrape this data at my Github repository. Why Scrape ETFs? At the investment management firm I worked at, we had teams of people that devoted lots of time just trying to accurately calculate the total return of assets. Why? Having accurate return data is a prerequisite to
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Predicting Booms and Busts in Low Volatility Strategies [Alpha Architect]Low volatility funds are some of the best performers in the market these days. As such, they have attracted renewed attention in addition to significant asset flows. (note: a refresher on low volatility investing is here, h.t. Eric Falkenstein). But a question remains What does the future hold for low volatility performance? Predictions are really difficult, especially about the future.