This is a summary of links featured on Quantocracy on Monday, 10/17/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Capital Efficiency in Multi-factor Portfolios [Flirting with Models]The debate for the best way to build a multi-factor portfolio mixed or integrated rages on. Last week we explored whether the argument held that integrated portfolios are more capital efficient than mixed portfolios in realized return data for several multi-factor ETFs. This week we explore whether integrated portfolios are more capital efficient than mixed portfolios in theory. We find
-
Book Review of Quantitative Momentum [Dual Momentum]I have been looking forward to Wes Gray and Jack Vogel's new book, Quantitative Momentum. It is the only book besides my own Dual Momentum that relies on academic research to develop systematic momentum strategies. My book uses a macro approach of applying momentum to indices and asset classes. Wes and Jack (W&J) take a more common approach and apply momentum to individual stocks. W&J
-
Algorithmic Trading in Indian Markets using Python [Quant Insti]Algorithmic Trading in Indian Markets using Python We have told you why Python is one of the preferred languages to do algo trading in this article. We have also told you how algorithmic trading in India. Since we are gearing up for our webinar on Trading in Indian Markets using Python (Not registered yet? Click here to register your seat), we ought to give you a prelude to the trading platform
-
Monthly Rebalancing of ETFs with Fixed Initial Weights in QSTrader [Quant Start]Many institutional global asset managers are constrained by the need to invest in long-only strategies with zero or minimal leverage. This means that their strategies are often highly correlated to "the market" (usually the S&P500 index). While it is difficult to minimise this correlation without applying a short market hedge, it can be reduced by investing in non-equities based
-
October Opex Week Has Historically Been Bullish [Quantifiable Edges]From a seasonal standpoint 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. The study below examines performance during October op-ex week. 2016-10-17 image1 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