This is a summary of links featured on Quantocracy on Tuesday, 11/14/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Comparing Some Strategies from Easy Volatility Investing, and the Table.Drawdowns Command [QuantStrat TradeR]This post will be about comparing strategies from the paper Easy Volatility Investing, along with a demonstration of Rs table.Drawdowns command. First off, before going further, while I think the execution assumptions found in EVI dont lend the strategies well to actual live trading (although their risk/reward tradeoffs also leave a lot of room for improvement), I think these
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Ensemble Methods for E-Mini S&P 500 Futures Long/Short Strategy [Golden Compass]Ensemble methods are learning algorithms that construct a set of classifiers and then classify new data points by taking a (weighted) vote of their predictions. This is with the intention that ensembles will achieve better prediction accuracy than individual classifiers. In machine learning research, most research papers focus on evaluating the performance of single algorithms. In recent years,
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Better Small Cap Premium [Quantpedia]We find that when measured in terms of dollar-turnover, and once beta-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of 5.1, the Cold-Minus-Hot (CMH) anomaly is certainly not less significant than other well-known factors such as Value or Quality. As compared to market-cap based SMB, CMH portfolios are much less anti-correlated to the Low-Vol
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How to Balance Short and Long term Goals in Asset Allocation [Alpha Architect]Peng Wang and Jon Spinney A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the research questions? Investors following a purely quantitative approach to asset allocation are often left with unintuitive portfolios with high turnover. On the other hand, those who pursue ad-hoc approaches face
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Investing Outside the U.S. – Purgatory for Pessimists [Factor Investor]The current equity bull market has not been kind to non-U.S. allocations. At a recent conference I attended, the term TINA: there is no alternative came up more than once in the context of allocating investor portfolios. It captures the collective sentiment that equities, despite a massive bull run and rising valuations, are one of few viable asset classes to park capital. Expected returns
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Can asset bubbles be mathematically quantified before they burst? [Alpha Architect]The subject of asset bubbles and market crashes has fascinated me for more than 20 years. As an options market maker for Susquehanna International Group (SIG), extreme price movements were a daily source of concern. I sat next to Jeff Yass for years and watched him manage option positions in thousands of different stocks. Almost daily he would be celebrating a big win in a stock that had an
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Hedge Fund Factor Exposure and Alternatives [Factor Research]Equity hedge fund returns have been disappointing over the last 14 years An exposure analysis shows no structural factor exposure, but frequent factor rotation Multi-factor long-short products are an interesting alternative, depending on the fee level INTRODUCTION Hedge fund assets reached an all-time high in 2017 with $3.3 trillion under management. Although returns were muted in recent years,