Quantocracy’s Daily Wrap for 11/18/2019

In past research notes we have explored the impact of rebalance timing luck on strategic and tactical portfolios, even using our own Systematic Value methodology as a case study. In this note, we generate empirical timing luck estimates for a variety of specifications for simplified value, momentum, low volatility, and quality style portfolios. Relative results align nicely with intuition: higher

AI & Data Science in Trading brings together experts in the use of AI and advanced data analytic techniques within asset management, primarily for finding alpha, managing risk and optimizing portfolios. Now in its fifth edition, rotating between the global financial hubs of NYC and London, this high level conference provides cutting edge sessions from asset managers and investment banks with

Divergent thinking is what we learn in school when we are paying attention. It allows us to solve hard problems with one right answer. Convergent thinking is what happens when we stop paying attention and start doodling. Convergent thinking produces many answers, none of which are technically correct but some of which are potentially groundbreaking. It is hard to do divergent thinking when

In the market, it is crucial to spot the trend, but it is equally important to detect when the trend ends. Getting out of the trade is more difficult than entering the trade. In this blog, we will talk about one such technical indicator, the Parabolic SAR indicator, which helps in identifying when the trend ends. The Parabolic SAR or Parabolic stop and reverse was developed by J. Welles Wilder.

Bond indices are frequently portrayed as featuring a lower quality composition than equity indices Analysing equity and bond indices in the US and emerging markets confirms this view Perhaps this explains why there is some alpha generation in fixed income INTRODUCTION While almost all fund managers in equities across market segments underperform their benchmarks over time, the data for fixed