This is a summary of links featured on Quantocracy on Friday, 12/07/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is there a signal in the noise? Yield Curves, Economic Growth and Stock Prices [Musings on Markets]The title of this post is not original and draws from Nate Silver's book on why so many predictions in politics, sports and economics fail. It reflects the skepticism with which I view many 'can't fail" predictors of economic growth or stock markets, since they tend to have horrendous track records. Over the last few weeks, as markets have gyrated, market commentators have been
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Portfolio construction through handcrafting: The method [Investment Idiocy]This post is all about handcrafting; a method for doing portfolio construction which human beings can do without computing power (although realistically you'd probably need a spreadsheet unless you're some kind of weird masochist). The method aims to achieve the following goals: Humans can trust it: intuitive and transparent method which produces robust weights Can be easily implemented
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Trend Following on Steroids [Alpha Architect]Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and you sell it and go to cash (or any other safe haven) when the momentum turns negative.(1) The best-known example of trend following is on the monthly ETF SPY (based on the SP500 index) and the 10-month SMA momentum (SMA10).(2) In this article, we will
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90 Years Of Death Crosses [Quantifiable Edges]The SPX could complete a Death Cross formation today or tomorrow, in which the 50-day moving average crosses below the 200-day moving average. In the past I have looked back to 1960 when examining Death Crosses. This time I decided to use Amibroker with my Norgate database, which goes back to 1928, and examine Death Crosses back as far as I can. This made for an interesting starting point,
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Weekly Recap: Trend-Following, Portfolios, and Risk Factors [Alpha Architect]You can watch the video via the link below: This week Ryan and I discuss three posts. First, we examine a guest post titled, Trend Following on Steroids, which examines ways to enhance a simple trend-following strategy. Second, we examine a post I wrote regarding how to use trend-following within a standard stock/bond portfolio. Last, we examine a post by Tommi on an AQR paper regarding how