This is a summary of links featured on Quantocracy on Tuesday, 10/25/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Turn an Engineer into a Quantitative Investor [Alpha Architect]We receive multiple requests from readers looking to break into the finance industry. Quite often the reader is currently working in a traditional engineering job and looking to make a career switch. The question we often hear is How does an engineer become a quantitative finance geek? To answer this question we decided to ask someone who recently made the switchKris Longmore at newly
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Is My Diversified Commodity Index Just Oil? [Flirting with Models]The benefit of including commodities in individual investor portfolios is often up for debate, focusing on aspects such as expected returns, volatility, access, and diversification. While we think that commodities can add value if the risks are understood, many passive ETFs that offer commodity exposure rely on indices that are significantly exposed to oil prices and energy, in general. One
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Strategic and Equal Weighted ETF Portfolios in QSTrader [Quant Start]In a previous article the monthly rebalance feature of the open-source backtesting library QSTrader was demonstrated on a simplistic equities/bonds ETF mix portfolio. In this article new streamlined code will be presented to allow straightforward modification of the portfolio weightings. In particular two new portfolios of ETFs will be presented, influenced by by a recent post[1] at The Capital
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Spot Price Patterns with the COT Report [Milton FMR]This post goes into an in depth analysis of the commitment of traders report and its usefulness for predicting price movements. The CFTC collects data on the daily positions of large participants in the commodity markets. The data is aggregated in the weekly COT report which is published every Friday at 3;30 PM EST. So the one million dollar question is whether we can use this weekly report to