This is a summary of links featured on Quantocracy on Monday, 05/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
What Drives the S&P 500 Equal-Weight Return Premium? [Alpha Architect]
A recent academic paper, Equal or Value Weighting? Implications for Asset-Pricing Tests, highlights two methods of weighting: Equal-weight and Value weight. As the paper states: With monthly rebalancing, an equal-weighted portfolio outperforms a value-weighted portfolio in terms of total mean return, four-factor alpha, and Sharpe ratioThe higher systematic
A Basic Logical Invest Global Market Rotation Strategy [QuantStrat TradeR]
This may be one of the simplest strategies I've ever presented on this blog, but nevertheless, it works, for some definition of "works". Here's the strategy: take five global market ETFs (MDY, ILF, FEZ, EEM, and EPP), along with a treasury ETF (TLT), and every month, fully invest in the security that had the best momentum. While I've tried various other tweaks, none have
Systems building – futures rolling [Investment Idiocy]
Trading futures has one fairly substantial complication compared to many other assets. You can't just buy 'the CME Gold future'. There is no such thing. You need to select which delivery date future you are trading. Do you want to trade June 2015, July, August….? Once you've chosen you can relax – but not for long. If you're trading June 2015 (I'm writing this in
There is No Overnight Edge in SPY [Price Action Lab]
In January of 2011 there was an article in Bespoke about an overnight edge in SPY. I responded with two articles that showed that the edge was purely hypothetical. Since then, it is not even an issue of a hypothetical edge simply because the edge is gone, terminated, hasta la vista. See details below. In two articles in 2011 I fully debunked the notion of an overnight edge
Truths about stop-losses that nobody wants to believe [Quant Investing]
If you're a long-term reader of my articles, or a subscriber to the newsletter, you will know that I am not a great supporter of a stop-loss system. This is mainly been because some testing we did came to the conclusion that a stop-loss strategy leads to lower returns even though it did reduce volatility (large losses). Why we read all the time?
Iron Condor Series – Higher Loss Thresholds [DTR Trading]
During my series on dynamic exits of iron condors, I received several requests for an expansion of these backtests. Specifically, people asked if I could run the tests with larger loss thresholds. I thought this was a good idea. I've decided to postpone the series on the Strangle options strategy, and instead spend the next five or six weeks looking at iron condors with higher loss t
Making Comparisons in Finance [John Orford]
There was a period not so long ago on a planet not so far when I lost all concept of value. I had lived in many countries in as many months and lost track of what anything was worth. Euros, USD, SGD, IDR and AUD became indistinguishable units of exchange, a means to an end, I handed over a fist of cash for whatever was required. You can perhaps ove
Most narrow SPX run to new highs since 2007 top $SPY [@NautilusCap]
Most narrow SPX run to new highs since 2007 top $SPY
Why Friday s Quiet OpEx Could Mean Trouble This Week [Quantifiable Edges]
Despite the options expiration, SPY volume came in at the lowest level of the week. When combined with the fact that the VIX also closed at a recent low it brought about a bearish study from the Quantifinder. Results below are all updated. The low VIX typically suggests complacency. It also frequently occurs when the market is at a short-term high level as it is now. The low SPY volume may also
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