This is a summary of links featured on Quantocracy on Thursday, 12/21/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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(Don t Get) Contangled Up In Noise [QuantStrat TradeR]This post will be about investigating the efficacy of contango as a volatility trading signal. For those that trade volatility (like me), a term you may see thats somewhat ubiquitous is the term contango. What does this term mean? Well, simple: it just means the ratio of the second month of VIX futures over the first. The idea being is that when the second month of futures is more than
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The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value) [Alpha Architect]The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value in terms of future returns. The higher the earnings yield, the higher the expected return, and the larger the spread in valuations between growth and value stocks, the larger the future value premium is likely to be in the future.(1)
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Carry Trade Across Fixed and Floating Currency Regimes [Quantpedia]Carry trade returns vary across fixed and floating currency regimes. Over the last century, outsized carry returns occur exclusively in the floating regime, being zero in the fixed regime. The absence of skewness in floating carry returns rules out a skewness-based explanation for this result. Fixed-to-floating regime shifts deliver negative return shocks to the floating carry strategy, even when