This is a summary of links featured on Quantocracy on Monday, 11/06/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cointegration, Correlation and Log Returns [Quantoisseur]The differences between correlation and cointegration can often be confusing. While there are some helpful explanations online, I wasnt satisfied with the visual examples. When looking at a plot of an actual pair of symbols where the correlation and cointegration test results differ, it can be difficult to pinpoint which portions of the time series are responsible for these separate properties.
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Are we misidentifying seasonal patterns as genuine earnings news? [Alpha Architect]Changes in earnings are comprised of the expected earnings number plus any seasonal component of earnings. If the seasonal component is expected then it should not affect prices in an efficient market. However, unusual returns have been documented surrounding earnings announcements at the seasonal juncture in time. It is possible investors discount the complexity of seasonality even though it is a
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It s Long/Short Portfolios All The Way Down [Flirting with Models]Long/short portfolios are helpful tools for quantifying the value-add of portfolio changes, especially for active strategies. In the context of fees, we can isolate the implicit fee of the managers active decisions (active share) relative to a benchmark and ask ourselves whether we think that hurdle is attainable. Bar-belling low fee beta with high active share, higher fee managers may actually
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Integrated Value, Growth and Quality Portfolios [Factor Research]Integrated Value, Growth & Quality portfolios generated attractive returns year-to-date 2017 Sorting stocks on several characteristics results in relatively smooth performance Mitigates the issue of factor timing, but not of factor selection INTRODUCTION Year-to-date 2017 is shaping up as a terrible year for the consensus trade of the beginning of the year Value, which was based on animal