This is a summary of links featured on Quantocracy on Monday, 10/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Attack of the Clone: Lessons from Replicating Long/Short Equity [Flirting with Models]In this commentary we attempt to identify the sources of performance in long/short equity strategies. Using Kalman Filtering, we attempt to replicate the Credit Suisse Long/Short Liquid Index with a set of common factors designed to capture equity beta, regional, and style tilts. We find that as a category, long/short equity managers make significant changes to their equity beta and regional tilts
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Statistical Arbitrage in the US [Factor Research]Statistical arbitrage has attractive strategy characteristics However, the returns are highly dependent on transaction costs Best used as a tactical strategy when volatility is high INTRODUCTION Equity markets in 2018 can be characterized by divergence. There is the US, showing strong returns, versus most other developed and emerging markets, which are generating lower or negative returns. A
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Math-TWS: Connecting Wolfram Mathematica to IB TWS [Jonathan Kinlay]At long last, its here! MATH-TWS is a new Mathematica package that connects Wolfram Mathematica to the Interactive Brokers TWS platform via the C++ API. It enables the user to retrieve information from TWS on accounts, portfolios and positions, as well as historical and real-time market data. MATH-TWS also enables the user to place and amend orders and obtain execution confirmations from
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Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending [Alpha Architect]The heightened interest in factor investing has been accompanied by a corresponding focus on the nuts and bolts of constructing multifactor portfolios. There are essentially two ways to go: In a one-step process, single factor signals are blended into a composite signal and one multifactor portfolio is created from the individual stock composites. Or in a two-step process, single factor portfolios