This is a summary of links featured on Quantocracy on Monday, 10/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Alternative Data: The Next Frontier of Quant? [Flirting with Models]The world is awash with new data. Satellite imagery, shipping manifests, agricultural sensors, and more can provide untapped insights. To understand how investors might benefit, we decompose investment strategies into three pieces: systematic rules, idiosyncratic decisions, and randomness. We explore how new and unique data might help investors enhance decision making in each of these categories.
-
Resist the Siren Call of High Dividend Yields [Factor Research]Buying high yielding and selling low yielding stocks has been an attractive strategy since 2000 However, it has been a highly unattractive strategy over the last century Investors should resist the Siren call of high yielding stocks and focus on other factors INTRODUCTION The search for yield has led investors and savers to consider quite adventurous investments in recent years. One contender for
-
Launching My Subscription Service [QuantStrat TradeR]After gauging interest from my readers, Ive decided to open up a subscription service. Ill copy and paste the FAQs, or my best attempt at trying to answer as many questions as possible ahead of time, and may answer more in the future. Im choosing to use Patreon just to outsource all of the technicalities of handling subscriptions and creating a centralized source to post
-
Information In Volatility Structure [Tr8dr]In the prior post Information In Volatility Structure [1] applied the SABR model to fit noisy raw option price data of approximatelty 700 million prices across a 10 year history of 2700 stocks. The point was to examine a hypothesis: does supply / demand imbalance in the options market express in terms of abnormal vol skew? can abnormal vol skew point to forward market behavior? First Application I
-
Broken Wing Butterfly Price and Volatility – CDN [DTR Trading]In the last two posts (here, and here), we looked at how implied volatility (IV) and price of the option strikes in two broken wing butterfly (BWB) strategies changed with time. In this post, we'll look at another BWB strategy, the centered delta neutral (CDN) BWB. In this strategy, the short put options are at-the-money (ATM), the lower long is at least 100 points below the market, and the
-
Autumn Readings about Factor Investing [Quantpedia]Factor returns, net of changes in valuation levels, are much lower than recent performance suggests. Value-add can be structural, and thus reliably repeatable, or situationala product of rising valuationslikely neither sustainable nor repeatable. Many investors are performance chasers who in pushing prices higher create valuation levels that inflate past performance, reduce potential future
-
Academic Research Insight: Sin Stocks May Earn a “Boycott” Risk Premium [Alpha Architect]In this study, a two-factor risk model is developed assuming differing preferences for sin or no-sin stocks for two groups of investors. Social screens are built into the model by assuming a small percentage of investors are self-restricting, declining to invest in sin stocks. Since each group of investors is facing a different set of investment opportunities, the derivation of a
-
Podcast: Building Mean Reversion trading strategies with @AlvarezQuant – Part 2 [Better System Trader]And were back for the 2nd episode in this 3-part series on building Mean Reversion strategies with Cesar Alvarez from Alvarez Quant Trading. In the first episode we discussed the goal of Mean Reversion trading, how to select a trading universe, a number of effective techniques to measuring Mean Reversion and how to combine indicators to identify better quality trades. If you havent listened