This is a summary of links featured on Quantocracy on Monday, 10/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Hedging Market Crashes with Factor Exposure [Factor Research]None of the factors consistently generated positive performance during recent market crashes However, almost any factor exposure would have increased the risk-return ratio of an equity-centric portfolio Low Volatility and Mean-Reversion would have been most beneficial, Momentum least INTRODUCTION A long time ago in a galaxy far, far awaymarkets declined. On our world, supported by an empire of
-
Sleuthing Out Allocations [Flirting with Models]Determining the allocations of an investment strategy is often the first step in scenario analysis, sensitivity analysis, and stress testing. For a single fund or ETF, the allocations can be found on the providers website or in marketing materials. However, when analyzing a larger group of funds or using third-party software tools, simplifying assumptions are frequently employed. Balancing
-
Podcast: Factor Replication with Lu Zhang [Alpha Architect]Here is a link to our podcast on Behind the Markets Wes and Jeremy speak with Lu Zhang, The John W. Galbreath Chair, Professor of Finance, at the Fisher College of Business at The Ohio State University, and co-author of the paper, Replicating Anomalies. The team dig into the 3-year research project and dissect some of the results. Prof. Zhang tell the audience what he considers to be the
-
October Opex Week Historically Bullish [Quantifiable Edges]Option expiration week is often a pretty good week for the market. October is one of those months where it has been especially good over the years. This can be seen in the study below. 2017-10-16 I decided to exclude 2008 because action that week was such an incredible outlier that it greatly skewed all the stats. (The week started with an 11.5% gain on Monday of 2008.) Even without 2008, results
-
Tips To Start Your Own Business In Algorithmic Trading [Quant Insti]You are doing well at work but have always felt that need to cater to the aspiration of doing something more, building something of your own? You are passionate about the chosen field of work. You have already explored different organizations and their work processes extensively. Entrepreneurship seems to be the only logical step ahead. The only concern is how? The basic questions that you need to
-
How to Predict FX Carry Profitability [Quantpedia]In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability than raw returns. We allow the two components to respond to currency-specific risk factors and use the