This is a summary of links featured on Quantocracy on Tuesday, 11/24/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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A framework for rapid and robust system development based on k-means clustering [Robot Wealth]Important preface: This post is in no way intended to showcase a particular trading strategy. It is purely to share and demonstrate the use of the framework Ive put together to speed the research and development process for a particular type of trading strategy. Comments and critiques regarding the framework and the methodology used are most welcome. Backtest results presented are for
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International Evidence for our favorite Value metric: Enterprise Multiples [Alpha Architect]The enterprise multiple (EM) predicts the cross section of international returns. The return predictability of EM is similarly pronounced in developed and emerging markets and likewise strong among small and large firms. An international portfolio of low-EM firms outperforms a portfolio of high-EM firms by about 1% per month. The EM value premium is individually significant for the majority of
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Improving A Hedge Fund Investment – Cantab Capital’s Quantitative Aristarchus Fund [Jonathan Kinlay]In this post I am going to take a look at what an investor can do to improve a hedge fund investment through the use of dynamic capital allocation. For the purposes of illustration I am going to use Cantab Capitals Aristarchus program a quantitative fund which has grown to over $3.5Bn in assets under management since its opening with $30M in 2007 by co-founders Dr. Ewan Kirk and Erich
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Migration from Good Factor Exposures [Factor Wave]There are a number of ways to become more confident in the idea of factor investing. The simplest is to just compare the results of factor portfolios to those based on other methods. This will show outperformance but it wont give us a reason for the outperformance. So anything that can give us more reason to believe is always welcome. Eugene Fama and Kenneth French wrote a paper,
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Visualisation Pt 1 – Javascript for the Financial Analyst Chapter 9 [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 9. ~ The web dominates our communication. The driver of this crushing victory? The humble webpage increasingly coupled with JavaScript. Up until now we have focused on the basics of how to code JavaScript in a functional manner, now for some fun. The next chapters will explore JavaScript's rich ecosystem of libraries. The