This is a summary of links featured on Quantocracy on Sunday, 10/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Week [Quantocracy]The best quant mashup links for the week ending Saturday, 10/17 as voted by our readers: Returns clustering with K-means algorithm [Quant Dare] Absolute Strength Momentum Investing Strategy [Alpha Architect] Guns, Bombs and eSports: Applying Data and Portfolio Analytics to Counter-Strike Gambling [Kevin Pei] I Hired a Contract Coder [Financial Hacker] Volatility Stat-Arb Shenanigans [QuantStrat
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Interview with Alan Clement [Better System Trader]Alan Clement is a Certified Financial Technician, full time independent trader, quantitative trading systems designer and private investment consultant. He is also a councillor with the Australian Technical Analysts Association and contributes to the technical analysis articles for Fairfax press. In this episode we talk about Rotational trading systems, the impact of stops on results and
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Multi-Factor Investing [Dual Momentum]Multi-factor investing that combines value, momentum, quality/profitability, or low volatility factors is todays hot new investment approach. There has been an explosion of multi-factor ETFs recently with nine of the fourteen existing U.S. multi-factor funds coming to market this year, and five of them showing up within the past 60 days. Multi-factor funds may be a good thing, since single
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Sovereign High Yield Bond Strategy [Meb Faber]There is ample research that shows that sorting government bonds on yield works great. The outperformance has been very consistent over the years at about 2% a year. The Dimson, Marsh, Staunton crew examined this in their 2012 GIRY issue, and graphic is below. These are returns from going long high yielding and short low yielding countries, but one issue with that strategy is that the drawdowns