Quantocracy’s Daily Wrap for 10/30/2019

As a site that tracks all things asset allocation, it seems like a miss not to include the most well known of asset allocation strategies: Sell in May and go away (aka the Halloween Indicator). This is a fitting time to add it to the lineup: The strategy is killing it this year and a change in allocation is upon us. The Sell in May strategy advocates holding stocks during the wintery

I have recently come across the idea of weight agnostic neural net training and have implemented a crude version of this combined with the recent work I have been doing on Taken's Theorem ( see my posts here, here and here ) and using the statistical mechanics approach to creating synthetic data. Using the simple Octave function below with the Akaike Information Criterion as the minimisation

Anomalies such as Value and Momentum have been exploited for years, yet the source of these premiums emerged as a major unresolved puzzle. Potential explanations can be grouped into two broad categories: compensation for risk or mispricing. This paper studies this puzzle by investigating the relationship between insider trades and stock anomalies. Heres a post about Insider trading

As Nassim Taleb states, ideas come and go, stories stay. So today Maximiliano and myself are going to build for you a story which hopefully will carve in your mind the importance of doing things right; or put differently, of using logarithmic returns instead of arithmetic returns when you should. To do so, we will use one again a common process carried out in Finance: return annualization. We will

Earlier this month I briefly reviewed a recent BlackRock report that highlighted that macroeconomic factors are typically driving investment strategy results. As a follow-up, lets take a quick look at a basic real-world example of analyzing portfolios through a macroeconomic lens. First, lets recap why macroeconomic analytics are useful. The basic takeaway: macro influences (economic growth,