This is a summary of links featured on Quantocracy on Monday, 11/11/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Robot Wealth 6 Week Bootcamp – Trading with Machine Learning – Enrollment Ends Friday [Robot Wealth]Use machine learning to find profitable trades in big data sets, boost the performance of existing strategies, and build a winning trading portfolio Use machine learning and distributed computing to solve the universe selection problem in an equity pairs trading operation Build a framework for trade filtering that can be applied to any strategy to improve performance Work with a team of retail
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The Limit of Factor Timing [Flirting with Models]We have shown previously that it is possible to time factors using value and momentum but that the benefit is not large. By constructing a simple model for factor timing, we examine what accuracy would be required to do better than a momentum-based timing strategy. While the accuracy required is not high, finding the system that achieves that accuracy may be difficult. For investors focused on
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Two Centuries of Creativity Quantified [Two Centuries Investments]In the past, I shared thoughts about the need to combine creative and organized thinking in order to generate investment alpha. A robust investment process and a strict disciplined application are concepts that one often hears in typical quant and fundamental investment teams. These are important but not sufficient to generate out-performance. In addition, readers know that I believe
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The Case Against REITs [Factor Research]Real estate stocks featured moderate correlations to stock markets over the last 30 years However, diversification benefits for equity portfolios were only marginal Other strategies provide similar yield and downside protection characteristics INTRODUCTION Surveys often reveal investor behaviour that is challenging to understand. For example, Preqins Alternative Investor Outlook for H2 2019
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Combine Market Trend and Economic Trend Signals? [CXO Advisory]A subscriber requested review of an analysis concluding that combining economic trend and market trend signals enhances market timing performance. Specifically, per the example in the referenced analysis, we look at combining: The 10-month simple moving average (SMA10) for the broad U.S. stock market. The trend is positive (negative) when the market is above (below) its SMA10. The 12-month simple