This is a summary of links featured on Quantocracy on Wednesday, 11/29/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Better Way to Model the VIX [Six Figure Investing]Models are useful. They help us understand the world around us and aid us in predicting what will happen next. But its important to remember that models dont necessarily reflect the underlying reality of the thing were modeling. The Ptolemaic model of the solar system assumed the Earth was the center of everything but in spite of that spectacular error, it did a good job of predicting the
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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
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Myth Busting: Stocks Correlations and Active Investment Opportunities [Alpha Architect]Many investors, investment professionals, and pundits make comments regarding the relationship between stock correlations and opportunities for active stock pickers. For example, here is a recent example from the Financial Times: Correlation crash clears way for stockpickers. The basic (albeit flawed) intuition behind the statement is that when correlations are low, the variation in returns is