This is a summary of links featured on Quantocracy on Thursday, 10/25/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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How large is the tracking error created by trend following? [Alpha Architect]A question Ive received in the past is the following: If you could go back in time five years ago and tell yourself something about investing, what would it be? My response is the following: Tracking error. First, what is tracking error?(1) Tracking error is a measure of how much a strategy deviates from a benchmark. If you are a U.S. equity investor, a standard benchmark is the SP500.(2) One
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Elevated CBI And New SPX Low Carry Bullish Implications [Quantifiable Edges]As we approached the close I noted on Twitter (@QuantEdges) that the Quantifiable Edges Capitulative Breadth Index (CBI) was starting to spike. And the closer we got to 4pm EST, the higher it got. At the end of the day, the CBI finished at 10, which is a level I have long considered bullish. The combination of a 10+ CBI and a 50-day closing low is something I have shown in the past to be bullish
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Creating our own S&P 500 Momentum ETF [Quant Dare]Smart Beta ETFs are achieving an increasing popularity, seen as the perfect equilibrium between passive investment and active management. But, whats the difference between them and the traditional ones? Is it possible to create our own ETF with some previous experience and without assuming higher trading costs? Would it be worthwhile? Have you ever heard about Factor ETFs or Smart Beta