This is a summary of links featured on Quantocracy on Monday, 12/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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US nonfarm employment prediction using RIWI Corp alternative data [EP Chan]The monthly US nonfarm payroll (NFP) announcement by the United States Bureau of Labor Statistics (BLS) is one of the most closely watched economic indicators, for economists and investors alike. (When I was teaching a class at a well-known proprietary trading firm, the traders suddenly ran out of the classroom to their desks on a Friday morning just before 8:30am EST.) Naturally, there were many
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How to Evaluate Smart Beta ETFs [Factor Research]Smart beta ETFs can be compared via a factor score, which relates fees to the factor exposure Value-focused ETFs in the US show a wide range of factor scores Large firms offer more attractive factor scores, but largely due to lower fees INTRODUCTION Beta is like ice cream and comes in many flavors. Broadly we can categorize it into the following four types: Plain beta: Market
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A Conversation on Rebalance Timing Luck [Flirting with Models]My guest today is me. But rather than interview myself, my co-portfolio manager Nathan Faber joins the podcast to take the reigns. In this episode, we talk all things rebalance timing luck. Its been an obsession of mine for years and something we believe to be a dramatically misunderstood and outright ignored source of risk in portfolios. We discuss how we first came across the topic, some
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Protecting the Downside of Trend When It Is Not Your Friend : Part 1 [Alpha Architect]Weve done a poor job hiding our interest in Trend Following (see Trend, Trend, Trend, is your friend. And swing over to Corey Hoffsteins site for even more!). So this paper hits on a subject we know and love. The authors of this study (part 1) have one basic objective: determine if the downside performance of a simple trend-following strategy can be improved by either adding complexity to