This is a summary of links featured on Quantocracy on Tuesday, 11/10/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Random data: Evaluating [Investment Idiocy]Everyone hates drawdowns (those periods when you're losing money whilst trading). If only there was a way to reduce their severity and length…. Quite a few people seem to think that "trading the equity curve" is the answer. The basic idea is that when you are doing badly, you reduce your exposure (or remove it completely) whilst still tracking your 'virtual' p&l
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I bought corporate bonds and all I got was this stupid currency exposure [Flirting with Models]Summary In the current Fed on / Fed off market environment, dollar exposure matters Currency hedged exposures have exploded in popularity in the equity space Using the experience of Canadian investors, we demonstrate the large impact that currency can have on fixed income Investors buying global bonds should consider whether currency hedging makes sense for them Currency hedging remains a
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Making Time (Even More of) an Investor’s Best Friend [EconomPic]Ben Carlson of A Wealth of Common Sense blog (and author of a great book by the same name), had a recent post Playing the Probabilities outlining that time has been an investor's best friend (for those investors that have had in some cases quite a bit of time), pointing to the following table. He also shared some pretty amazing stats, including: The worst total return over a 20 year period
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How Monday s Strong Drop May Be Setting SPX Up For A Bounce [Quantifiable Edges]When a market has already sold off for multiple days and the selling accelerates that can often mark a point where a bounce becomes likely. Mondays selling triggered the Quantifinder study below. All stats are updated. 2015-11-10 image1 These results appear extremely compelling. The consistency is very strong. Of course the market is always capable of doing things it hasnt before. Weve