This is a summary of links featured on Quantocracy on Monday, 11/16/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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How the Number of Firms and Holding Periods Affect Momentum Funds [Alpha Architect]We have already documented the returns to generic momentum investing strategies. Within the fund marketplace, many investors focus on fees and less on process. For example, Morningstar highlights the fees as cost-efficient for a specific momentum fund, MTUM. However, fees are only one part of an investment decisionprocess also mattersespecially when it comes to momentum-based stock
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David Versus Goliath [Investment Idiocy]Just a quick post today. As most of you know until a couple of years ago I worked for a large systematic hedge fund. Now I manage my own money. I'm doing similar things (systematically trading futures, with a holding period averaging a few weeks, and a variety of trading rules with a trend following bias). An interesting question, which I'm often asked, is can a little guy like me
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Seasonality S&P Market Session [System Trader Success]In a recent article, Seasonality Study, I took a look at the classic seasonality effect as seen in the U.S. markets. Briefly recapping that article, it shows that the trading days between November through May appear to hold significant gains in the market while the trading days between June and October hold far less profit. In this article I would like to test the markets intra-day behavior
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Two Unfilled Down Gaps For SPY Good News? [Quantifiable Edges]Both Thursday and Friday saw SPY leave an unfilled gap down. That is fairly unusual. In the study below I examined other times it has occurred since 2002 while SPY was below the 200-day moving average. 2015-11-16 image1 Every instance except one was higher five days later. While instances are a little low, the numbers are compelling and suggest an upside edge over the next week.