This is a summary of links featured on Quantocracy on Wednesday, 12/30/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Towards a better equity benchmark: random portfolios [Predictive Alpha]Random portfolios deliver alpha relative to a buy-and-hold position in the S&P 500 index even after allowing for trading costs. Random portfolios will serve as our benchmark for our future quantitative equity models. The evaluation of quantitative equity portfolios typically involves a comparison with a relevant benchmark, routinely a broad index such as the S&P 500 index. This is an
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Strong Rally Days Between Christmas & New Year s [Quantifiable Edges]The week between Christmas and New Years is often a quiet one that is not prone to large-move days. So strong rallies like we saw on Tuesday are a bit unusual this time of year. I looked back to 1970 to see what has followed other times when SPX rose over 1% on a day between Christmas and New Years. Results are below. 2015-12-30 image1 The stats here all point to a bullish edge. Most of the